Oil price shocks, economic policy uncertainty, and green finance: a case of China
This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative i...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2022-12-01
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| Series: | Technological and Economic Development of Economy |
| Subjects: | |
| Online Access: | https://jau.vgtu.lt/index.php/TEDE/article/view/17999 |
| _version_ | 1797979821193560064 |
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| author | Kai-Hua Wang Chi-Wei Su Muhammad Umar Oana-Ramona Lobonţ |
| author_facet | Kai-Hua Wang Chi-Wei Su Muhammad Umar Oana-Ramona Lobonţ |
| author_sort | Kai-Hua Wang |
| collection | DOAJ |
| description |
This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China’s green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.
First published online 19 December 2022
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| first_indexed | 2024-04-11T05:44:40Z |
| format | Article |
| id | doaj.art-9e6b634586f74ee39753a12115a8f58a |
| institution | Directory Open Access Journal |
| issn | 2029-4913 2029-4921 |
| language | English |
| last_indexed | 2024-04-11T05:44:40Z |
| publishDate | 2022-12-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Technological and Economic Development of Economy |
| spelling | doaj.art-9e6b634586f74ee39753a12115a8f58a2022-12-22T04:42:17ZengVilnius Gediminas Technical UniversityTechnological and Economic Development of Economy2029-49132029-49212022-12-0110.3846/tede.2022.17999Oil price shocks, economic policy uncertainty, and green finance: a case of ChinaKai-Hua Wang0Chi-Wei Su1Muhammad Umar2Oana-Ramona Lobonţ3School of Economics, Qingdao University, Qingdao, ChinaSchool of Economics, Qingdao University, Qingdao, China; Faculty of Economics and Business Administration, West University of Timisoara, Timișoara, RomaniaSchool of Economics, Qingdao University, Qingdao, China; Adnan Kassar School of Business, Lebanese American University, P.O. Box: 13-5063, Chouran, Beirut, LebanonDepartment of Finance, West University of Timisoara, Timisoara, Romania This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China’s green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market. First published online 19 December 2022 https://jau.vgtu.lt/index.php/TEDE/article/view/17999green bond indexcrude oil priceeconomic policy uncertaintyquantile autoregressive distributed lag model |
| spellingShingle | Kai-Hua Wang Chi-Wei Su Muhammad Umar Oana-Ramona Lobonţ Oil price shocks, economic policy uncertainty, and green finance: a case of China Technological and Economic Development of Economy green bond index crude oil price economic policy uncertainty quantile autoregressive distributed lag model |
| title | Oil price shocks, economic policy uncertainty, and green finance: a case of China |
| title_full | Oil price shocks, economic policy uncertainty, and green finance: a case of China |
| title_fullStr | Oil price shocks, economic policy uncertainty, and green finance: a case of China |
| title_full_unstemmed | Oil price shocks, economic policy uncertainty, and green finance: a case of China |
| title_short | Oil price shocks, economic policy uncertainty, and green finance: a case of China |
| title_sort | oil price shocks economic policy uncertainty and green finance a case of china |
| topic | green bond index crude oil price economic policy uncertainty quantile autoregressive distributed lag model |
| url | https://jau.vgtu.lt/index.php/TEDE/article/view/17999 |
| work_keys_str_mv | AT kaihuawang oilpriceshockseconomicpolicyuncertaintyandgreenfinanceacaseofchina AT chiweisu oilpriceshockseconomicpolicyuncertaintyandgreenfinanceacaseofchina AT muhammadumar oilpriceshockseconomicpolicyuncertaintyandgreenfinanceacaseofchina AT oanaramonalobont oilpriceshockseconomicpolicyuncertaintyandgreenfinanceacaseofchina |