Can Consumer Credit Stimulate Consumer Confidence? Evidence from the Time-Varying Aspect

This study discusses the nexus between consumer credit (CC) and consumer confidence (CF) in the case of China with a bootstrap rolling-window causality test. The new empirical results demonstrate that CC improves CF in specific periods by loosening liquidity constraints and increasing consumer power temporarily. Meanwhile, a negative link is also found, which can be explained by policy adjustment and financial instabilities. On the contrary, CF negatively influences CC in some periods, reflecting consumers' attitudes toward the future would change borrowing behaviors. But this relationship would be disrupted by government intervention and public events such as the COVID-19 pandemic. The contribution is that time-varying, multiple-directional and dynamic causalities are captured, which enriches the theoretical framework between CC and CF. Therefore, the government must design and adjust loaning policies against specific circumstances and transmit positive signs to consumers. Future study needs to pay attention to different types of CC and try to reveal their heterogeneous influences on CF. In addition, the effect evaluation for CC policy is also another focus in the next research.

Oil prices and the green bond market: Evidence from time-varying and quantile-varying aspects

This paper investigates the link between crude oil prices (COP) and green bonds through a rolling-window Granger-causality test. The positive, negative, and uncorrelated impacts of COP on the green bond index (GBI) are captured with the same sample. The positive effects show that the prosperity of the green bond market is promoted by the high COP, demonstrating that green bonds can avoid shocks from COP. Nevertheless, due to the high profits of the green energy industry and the excess supply on the oil market, the negative impact between COP and GBI is also found. These results are not completely consistent with the price correlation model between oil and green bonds. Furthermore, the positive impact of the GBI on COP shows that green bonds cannot moderate the oil crisis due to COVID-19, instability in the international political environment, and the immaturity of green bonds market. In addition, depending on the quantile Granger-causality test, only high COP affects the GBI, and this asymmetric feature is attributed to increasing production costs and environmental protection pressure. Understanding the nexus between COP and the GBI is of practical significance for bond issuers, regulators, and investors. © 2022 Borsa Ä°stanbul Anonim Åžirketi

Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method

The paper investigates the volatility spillover across China's carbon emission trading (CET) markets using the connectedness method based on the quantile VAR framework. The non-linear result shows strong volatility spillover effects in upper quantiles, resulting from major economic and political events. This is in accordance with the risk contagion hypothesis that volatility of carbon price returns is affected by the shocks of economic fundamentals and spills over to other pilots. Guangdong and Shanghai are the most significant contributors to volatility transmission because of their high liquidity and active markets. Hubei CET pilot has shifted from transmitter to receiver since the COVID-19 pandemic. Regarding the pairwise directional connectedness, geographical location and similar market attribute also matter in volatility transmission. This provides implications for policymakers and investors to attach importance to risk management given the quantile-based method rather than the average shocks. © 2023 Elsevier B.V.