Original scientific paper
https://doi.org/10.1080/1331677X.2022.2049977
Driving green bond market through energy prices, gold prices and green energy stocks: evidence from a nonlinear approach
Lei Yan,
Haiyan Wang
Seyed Alireza Athari
Faraz Atif
Abstract
One of the most controversial concerns among the researchers is
the expansion of the green bond markets, so as to reduce environmental
pollution. The present study estimates the factors that
help drive the global green bond markets, such as energy prices,
gold prices, and green energy stocks. The study has applied
Quantile Autoregressive Lagged Approach (QARDL) and Quantile
Granger Causality test to estimate the causal relationship among
the variables for January 2010 and June 2021. The QARDL findings
reveal that for all the quantiles, the error correction term is
statistically significant with the predicted negative sign. This confirms
the existence of a strong long-run equilibrium relationship
between the relevant variables and the green bonds market on a
global level. The findings revealed that gold and energy prices
have a lower effect on the green bonds market on every quantile,
and also from the low to medium quantiles, respectively. While at
the same time, the green energy stocks have an increasing effect
on the green bonds market at higher quantiles. The results of the
causal examination using Granger-causality in quantiles show a
bi-directional causal relationship between the green bonds,
energy prices, gold prices, and green energy stocks in the
world economy
Keywords
Green bonds; energy prices; gold prices; green energy stocks; QARDL
Hrčak ID:
302983
URI
Publication date:
31.3.2023.
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