Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America
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....
| Main Authors: | , , , , |
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| Format: | info:eu-repo/semantics/article |
| Language: | English |
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MDPI
2022
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10835/13428 |
| _version_ | 1789406400044072960 |
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| author | Syed, Aamir Aijaz Ahmed, Farhan Kamal, Muhammad Abdul Ullah, Assad Ramos Requena, José Pedro |
| author_facet | Syed, Aamir Aijaz Ahmed, Farhan Kamal, Muhammad Abdul Ullah, Assad Ramos Requena, José Pedro |
| author_sort | Syed, Aamir Aijaz |
| collection | DSpace |
| description | 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. |
| format | info:eu-repo/semantics/article |
| id | oai:repositorio.ual.es:10835-13428 |
| institution | Universidad de Cuenca |
| language | English |
| publishDate | 2022 |
| publisher | MDPI |
| record_format | dspace |
| spelling | oai:repositorio.ual.es:10835-134282023-04-12T19:06:16Z Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America Syed, Aamir Aijaz Ahmed, Farhan Kamal, Muhammad Abdul Ullah, Assad Ramos Requena, José Pedro green bonds environmental sustainability asymmetric analysis EPU clean energy 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. 2022-03-10T18:05:07Z 2022-03-10T18:05:07Z 2022-02-24 info:eu-repo/semantics/article 2227-7390 http://hdl.handle.net/10835/13428 10.3390/math10050720 en https://www.mdpi.com/2227-7390/10/5/720 Attribution-NonCommercial-NoDerivatives 4.0 Internacional http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess MDPI |
| spellingShingle | green bonds environmental sustainability asymmetric analysis EPU clean energy Syed, Aamir Aijaz Ahmed, Farhan Kamal, Muhammad Abdul Ullah, Assad Ramos Requena, José Pedro Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title | Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title_full | Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title_fullStr | Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title_full_unstemmed | Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title_short | Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America |
| title_sort | is there an asymmetric relationship between economic policy uncertainty, cryptocurrencies, and global green bonds? evidence from the united states of america |
| topic | green bonds environmental sustainability asymmetric analysis EPU clean energy |
| url | http://hdl.handle.net/10835/13428 |
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