Abstract
This paper discusses frequency and quantile-varying linkage between economic policy uncertainty (EPU) and green bond index (GBI) using wavelet multiscale decomposition and quantile-on-quantile regression approaches. We construct nine different time frequency combinations of short-term EPU and long-term GBI and find that dynamic coefficients exist for their relationship across different quantiles. For the same cases, the corresponding coefficients even change from positive to negative or conversely, further proving the unstable linkage related to different quantiles and frequencies. The major contribution of this study is that time frequencies and quantile-varying analysis are used simultaneously. In addition, China’s economic reform and complex external economic shocks make it a case worthy of study. Furthermore, this work indicates a nonlinear link, which adds to the theoretical foundation of EPU and GBI. Thus, authorities should stabilize their economic policy, avoid drastic policy changes and increase policy transparency, which can strengthen investors’ confidence in the green bond market.
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Acknowledgements
This work was supported by a grant from the Romanian Ministry of Research, Innovation and Digitalization, the project with the title „Economics and Policy Options for Climate Change Risk and Global Environmental Governance” (CF 193/28.11.2022, Funding Contract no. 760078/23.05.2023), within Romania's National Recovery and Resilience Plan (PNRR)—Pillar III, Component C9, Investment I8 (PNRR/2022/C9/MCID/I8)—Development of a program to attract highly specialized human resources from abroad in research, development and innovation activities.
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Wang, K. Economic policy uncertainty and green finance: evidence from frequency and quantile aspects. Econ Change Restruct 57, 1 (2024). https://doi.org/10.1007/s10644-024-09579-z
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DOI: https://doi.org/10.1007/s10644-024-09579-z
Keywords
- Economic policy uncertainty
- Green bond index
- Wavelet multiscale decomposition
- Quantile-on-quantile regression