Economic Policy Uncertainty, Geopolitical Dynamics, Energy Prices, and Green Bond Returns

This study investigates the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and liquefied natural gas (LNG) prices on green bond returns in China from August 2012 to July 2022.Using quantile-on-quantile regression (QQR), quantile Granger causality, and wavelet coherence analysis, we examine the relationships between these factors and green bond prices across different quantiles.Our findings reveal significant asymmetric impacts of EPU, GPR, and LNG prices on Chinese green bond returns.Specifically, EPU, geopolitical threats (GPRT) and LNG prices show strong positive effects on green bonds across most quantiles and frequencies.In contrast, geopolitical acts (GPRA) generally exhibit negative relationships with green bond returns.The quantile Granger causality tests confirm bidirectional relationships between the variables across multiple quantiles.The wavelet coherence analysis demonstrates time-varying co-movements between the factors and green bond prices, with stronger correlations observed in recent years, particularly at medium to high frequencies. MANUÁL VYSOKÉ ŠKOLY EKONOMICKÉ V PRAZENejlépe znak vynikne na bílé podkladové ploše, která je také při aplikaci znaku preferována.Správný způsob aplikace znaku je definován pravidly uvedenými v tomto manuálu a je zakázáno ho aplikovat v rozporu s ním.