The Impact of Natural Gas Prices on the Green Bond Market: A Quantile-on-Quantile Analysis Within the Sustainable Development Framework

This paper explores the dynamic and distributional association between natural gas prices (NGPs) and the green bond market in a sustainable development context. The analysis employs a Quantile-on-Quantile (QQ) approach on monthly data between 2013 and 2025 to capture nonlinear and asymmetric interactions as well as state-dependent interactions between the two markets under varying market conditions. The findings indicate a bilateral intricate relationship. In the short run, NGP rises are likely to have a negative impact on green bond performance, indicating cost impacts and macro-financial risk in traditional energy markets. In the long run, the development of NGP becomes progressively shaped by the rise of sustainable finance together with the stepwise transformation of energy systems toward low-carbon configurations, ultimately bringing about a structural decline in fossil fuel dependence. In contrast, it is observed that the increase in the green bond market has a short-to-medium-term positive impact on NGP, which highlights the significance of natural gas as a transitional fuel in the energy transition. On the whole, the results indicate that, although green bonds are important in supporting sustainable development goals, their interplay with transitional energy markets like natural gas is nonlinear and changes over time. These findings provide key indications on how financial strategies can be realigned to accord with long-term sustainability goals.