Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework

This paper investigates the quantile connectedness between uncertainties and green bonds in the US, Europe, and China by using a quantile VAR model-based connectedness approach. The empirical findings suggest that the spillover effect under extreme market conditions is significantly higher than that under normal market conditions. We also show that stock market uncertainty (VIX) and oil market uncertainty (OVX) have a greater impact on green bonds, especially in extreme upward markets. In addition, the US is the dominant transmitter of spillovers in other green bond markets, while China is always the net receiver of spillovers. Further research, meanwhile, demonstrates that the connectedness between green bonds and uncertainties is time-varying and that the spillover effects at extreme upper and lower quantiles are asymmetric and heterogeneous, especially in the early days of the COVID-19 pandemic. These findings provide investors and policymakers with systematic insights into the risk resistance of different green bond markets.

Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks.

This paper uses a time-varying Granger causality test and time-varying parameter vector autoregression with stochastic volatility model to analyze the effects of infectious disease equity market volatility (ID-EMV), geopolitical risk (GPR), and speculation on commodity returns. The time-varying effects of ID-EMV, GPR, and speculation on commodity returns are investigated and compared in five epidemics during 1998-2021: Bird Flu in 1998, SARS in 2003, Swine Flu in 2009, MERS and Ebola in 2014, and COVID-19 in 2019. A further analysis is performed for five commodity subcategories of textiles, industry, metals, livestock, and food. Results show that time-varying effects are significant, and most responses to ID-EMV are positive, to GPR are changing from negative to positive, and to speculation are negative. Notably, ID-EMV in the ongoing COVID-19 pandemic is the worst hit to commodity returns in more than two decades.

Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate

By using the NARDL model, we investigate the asymmetric relationship between Sino-US interest rate differentials, economic policy uncertainty (EPU) ratio, and the RMB exchange rate both in the long and short run. We further explore the changes in the asymmetric relations in light of the shocks of the 2008 international financial crisis and the COVID-19 pandemic. Our empirical results show that the long-run asymmetric effects of Sino-US interest rate differentials and EPU ratio on the RMB exchange rate are significant. Specifically, the RMB exchange rate appreciation resulting from the widening Sino-US interest rate differentials is greater than its depreciation resulting from the narrowing interest rate differentials in the long run. And the RMB exchange rate responds more intensely to the increase of Sino-US EPU ratio in the long run. In addition, in the aftermath of the 2008 international financial crisis, the impact of Sino-US interest rate differentials on the RMB exchange rate is found to be weaker, while the impact of the Sino-US EPU ratio on the RMB exchange rate is reinforced. COVID-19, for its part, has simultaneously intensified the responses of the RMB exchange rate to Sino-US interest rate differentials and EPU ratio.