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Economic policy uncertainty and green finance: evidence from frequency and quantile aspects

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  • Kaihua Wang

    (Wuchang University of Technology)

Abstract

This paper discusses frequency and quantile-varying linkage between economic policy uncertainty (EPU) and green bond index (GBI) using wavelet multiscale decomposition and quantile-on-quantile regression approaches. We construct nine different time frequency combinations of short-term EPU and long-term GBI and find that dynamic coefficients exist for their relationship across different quantiles. For the same cases, the corresponding coefficients even change from positive to negative or conversely, further proving the unstable linkage related to different quantiles and frequencies. The major contribution of this study is that time frequencies and quantile-varying analysis are used simultaneously. In addition, China’s economic reform and complex external economic shocks make it a case worthy of study. Furthermore, this work indicates a nonlinear link, which adds to the theoretical foundation of EPU and GBI. Thus, authorities should stabilize their economic policy, avoid drastic policy changes and increase policy transparency, which can strengthen investors’ confidence in the green bond market.

Suggested Citation

  • 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.
    • Handle: RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09579-z
    DOI: 10.1007/s10644-024-09579-z
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    More about this item

    Keywords

    Economic policy uncertainty; Green bond index; Wavelet multiscale decomposition; Quantile-on-quantile regression;
    All these keywords.

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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