Sustainability uncertainty and the fragility of green finance: bootstrap rolling-window and quantile-on-quantile evidence from green bond

The emergence of green finance, and especially green bonds, has been central to funding the global transition towards sustainability. However, its development is becoming more susceptible to the uncertainties within environmental, social, and governance (ESG) framework. This research applies bootstrap rolling-window causality along with quantile-on-quantile regression methods to examine the time-varying and quantile-based influence of sustainability uncertainty on the promotion and growth of green finance. Empirical results show no stable predictive link in the full sample, but significant time-varying effects emerge once structural breaks are considered. Heightened ESG uncertainty erodes the informational value of the green bond signal, dampening investors’ confidence in green assets. Furthermore, quantile-on-quantile regression results also confirm the robustness of our findings. The results highlight that robust disclosure, harmonised taxonomies, and policy consistency are essential to strengthen green finance resilience against ESG-related risks.