【Author】
Syed, Aamir Aijaz; Ahmed, Farhan; Kamal, Muhammad Abdul; Ullah, Assad; Ramos-Requena, Jose Pedro
【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.
【Keywords】green bonds; environmental sustainability; asymmetric analysis; EPU; clean energy
【标题】经济政策不确定性、加密货币和全球绿色债券之间是否存在不对称关系？来自美利坚合众国的证据
【摘要】环境退化和对可持续发展的关注引起了研究人员评估绿色债券相对于其他传统资产的前景的广泛关注。在这种背景下，目前的研究通过采用 Shin 等人最近开发的非线性自回归分布滞后 (NARDL) 估计技术来衡量绿色债券、美国经济政策不确定性 (EPU) 和比特币之间的不对称关系。实证分析的结果证实了 EPU、比特币、清洁能源指数、油价和绿色债券之间的不对称协整。 NARDL 估计证实 EPU 的正面冲击会对绿色债券产生负面影响，而 EPU 的负面冲击会增加绿色债券的表现。这意味着，从长远来看，EPU 每增加 1%（减少），绿色债券的表现将分别降低（增加）0.22% 和 0.11%。同样，该研究还证实了比特币和绿色债券之间的双向关系。比特币的正面冲击会提高绿色债券的表现，反之亦然。此外，我们的研究还揭示了清洁能源、油价和绿色债券之间的直接联动。这一结果意味着绿色债券不是一个不同的资产类别，它们反映了其他资产类别的表现，例如清洁能源、油价和比特币。这些发现为理解比特币的对冲和多样化特性提供了一些启示，并有助于理解美国经济政策不确定性对绿色债券的影响。
【关键词】绿色债券；环境的可持续性;不对称分析； EPU；清洁能源
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