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Does Economic Policy Uncertainty Affect Green Bond Markets? Evidence from Wavelet-Based Quantile Analysis
Emerging Markets Finance and Trade ; 2022.
Article in English | Scopus | ID: covidwho-1860556
ABSTRACT
This paper investigates the wavelet-based quantile dependence between Economic Policy Uncertainty (EPU) and green bond markets over 2014–2021. We first determine how the connectivity between EPU and green bonds differs across different investment horizons by decomposing EPU and green bond series into various frequency bands. Next, we provide a quantile-based framework to characterize the reliance between EPU and green bond markets across various market circumstances. Our findings show that the Granger causality from EPU to the green bond market is non-linear and varies across time scales. Our results benefit policymakers with a policy design to mitigate systematic volatility caused by external shocks in the green bond markets. © 2022 Taylor & Francis Group, LLC.
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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Emerging Markets Finance and Trade Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Emerging Markets Finance and Trade Year: 2022 Document Type: Article