经济和金融不确定性对绿色债券市场效率的异质作用

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-11-20 DOI:10.1108/raf-07-2023-0202
Ping Wei, Jingzi Zhou, Xiaohang Ren, Farhad Taghizadeh-Hesary
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引用次数: 0

摘要

目的探讨经济政策不确定性(EPU)对绿色债券市场效率的短期和长期影响。本研究采用分位数自回归分布滞后方法,考察EPU、WTI原油价格(WTI)和欧盟配额价格(EUA)与绿色债券市场效率(GBE)的长期协整关系和短期波动关系。此外,作者还分析了Covid-19大流行前后的差异。研究发现,在疫情爆发前,sepu对GBE有显著的积极影响。但在危机时期,EPU和WTI的影响明显减弱,EUA的影响增强。本文论证了不同时期GBE的动态变化及其影响因素。研究结果为市场参与者和政策制定者更清晰地了解绿色债券市场提供了参考。独创性/价值本文通过量化GBE和阐明不同时期不同分位的效率与自变量之间的非线性关系,扩展了绿色债券的研究。
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The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Purpose

This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market.

Design/methodology/approach

This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic.

Findings

EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened.

Practical implications

This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market.

Originality/value

This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.

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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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