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Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America

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Listed:
  • Aamir Aijaz Syed

    (Institute of Management, Commerce and Economics, Shri Ramswaroop Memorial University, Lucknow 226016, India)

  • Farhan Ahmed

    (Department of Economics and Management Sciences, NED University of Engineering & Technology, Karachi 75270, Pakistan)

  • Muhammad Abdul Kamal

    (Department of Economics, Abdul Wali Khan University, Mardan 23200, Pakistan)

  • Assad Ullah

    (Department of Economics, Henan University, Kaifeng 475001, China)

  • Jose Pedro Ramos-Requena

    (Department of Economics and Business, University of Almeria, 04120 Almería, Spain)

Abstract

The environmental degradation and the concern for sustainable development have garnered extensive attention from researchers to evaluate the prospects of green bonds over other traditional assets. Against this backdrop, the current study measures the asymmetric relationship between green bonds, U.S. economic policy uncertainty (EPU), and bitcoins by employing the Nonlinear Autoregressive Distribution Lag (NARDL) estimation technique recently developed by Shin et al. The outcome of the empirical analysis confirms an asymmetric cointegration between EPU, bitcoins, the clean energy index, oil prices, and green bonds. The NARDL estimation substantiates that positive shock in EPU exerts a negative impact on green bonds, whereas a negative shock in EPU increases the performance of green bonds. It implies, in the long run, a 1 percent increase (decrease) in EPU decreases (increases) the performance of green bonds by 0.22 percent and 0.11 percent, respectively. Likewise, the study also confirms a bidirectional relationship between bitcoins and green bonds. A positive shock in bitcoin increases the performance of green bonds and vice versa. In addition, our study also reveals a direct co-movement between clean energy, oil prices, and green bonds. This outcome implies that green bonds are not a different asset class, and they mirror the performance of other asset classes, such as clean energy, oil prices, and bitcoins. The findings offer several implications to understand the hedging and diversification properties of bitcoins, and assist in understanding the role of U.S. economic policy uncertainty on green bonds.

Suggested Citation

  • Aamir Aijaz Syed & Farhan Ahmed & Muhammad Abdul Kamal & Assad Ullah & Jose Pedro Ramos-Requena, 2022. "Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America," Mathematics, MDPI, vol. 10(5), pages 1-15, February.
  • Handle: RePEc:gam:jmathe:v:10:y:2022:i:5:p:720-:d:757789
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    References listed on IDEAS

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    2. Sharma, Gagan Deep & Shahbaz, Muhammad & Singh, Sanjeet & Chopra, Ritika & Cifuentes-Faura, Javier, 2023. "Investigating the nexus between green economy, sustainability, bitcoin and oil prices: Contextual evidence from the United States," Resources Policy, Elsevier, vol. 80(C).
    3. Aamir Aijaz Syed & Assad Ullah & Muhammad Abdul Kamal, 2024. "Does economic policy uncertainty impedes financial inclusion in BRICS economies: the mediating role of quality of governance," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-24, February.
    4. Rolando Rubilar-Torrealba & Karime Chahuán-Jiménez & Hanns de la Fuente-Mella, 2023. "A Stochastic Analysis of the Effect of Trading Parameters on the Stability of the Financial Markets Using a Bayesian Approach," Mathematics, MDPI, vol. 11(11), pages 1-14, May.
    5. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2022. "Mathematics, Cryptocurrencies and Blockchain Technology," Mathematics, MDPI, vol. 10(12), pages 1-2, June.
    6. Li, Houjian & Li, Qingman & Huang, Xinya & Guo, Lili, 2023. "Do green bonds and economic policy uncertainty matter for carbon price? New insights from a TVP-VAR framework," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Refk Selmi, 2022. "A war in a pandemic- The recent spike in economic uncertainty and the hedging abilities of Bitcoin," Economics Bulletin, AccessEcon, vol. 42(3), pages 1422-1431.
    8. Kaihua Wang, 2024. "Economic policy uncertainty and green finance: evidence from frequency and quantile aspects," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-26, February.

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