Do green bonds and economic policy uncertainty matter for carbon price? New insights from a TVP-VAR framework

Li, Houjian; Li, Qingman; Huang, Xinya; Guo, Lili

doi:10.1016/j.irfa.2023.102502

Cited by 44 publications

(4 citation statements)

References 76 publications

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“…Regarding the first-order moments, scholars typically employ VAR family models, considering time series returns. Examples include BVAR and the Diebold-Yilmaz spillover index [16,17]. In terms of secondorder moments, researchers predominantly investigate volatility measures, forecasts, and their correlations using GARCH family models, such as DCC-APGARCH, DCC-T-GARCH, DCC-GJR-GARCH models, and GARCH-MIDAS models [18,19].…”

Section: Literature Reviewmentioning

confidence: 99%

Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies

Wu,

Wang,

Xie

et al. 2024

PLoS ONE

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Based on monthly economic data spanning from January 2015 to December 2022, we have established an analytical framework to examine the "Russia-Ukraine conflict—financial market pressure and energy market—China carbon emission trading prices." To achieve this objective, we developed indices for financial system pressure, the energy market, and investor sentiment, applying a mediation effects model to validate their transmission mechanisms. Subsequently, the TVP-SV-VAR model was employed to scrutinize the nonlinear impact of the Russia-Ukraine conflict on the valuation of China’s carbon emission trading rights. This model integrates time-varying parameters (TVP) and stochastic volatility (SV), utilizing Markov Chain Monte Carlo (MCMC) technology for parameter estimation. Finally, various wavelet analysis techniques, including continuous wavelet transform, cross-wavelet transform, and wavelet coherence spectrum, were applied to decompose time series data into distinct time-frequency scales, facilitating an analysis of the lead-lag relationships within each time series. The research outcomes provide crucial insights for safeguarding the interests of trading organizations, refining the structure of the carbon market, and mitigating systemic risks on a global scale.

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Section: Literature Reviewmentioning

confidence: 99%

Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies

Wu,

Wang,

Xie

et al. 2024

PLoS ONE

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“…The

italicEPU

index describes the gap between expectations and announcements of fiscal, regulatory or monetary policies and can provide investors, businesses and policy‐makers with insight and predictive power for changes in China's economic policies. The index has gained significant attention and has been widely utilised in studies related to finance and economics (Li and Zhong 2020; Gu et al 2021; Zhao and Su 2022; Li et al 2023; Liu et al 2023).…”

Section: Data Source and Descriptive Analysismentioning

confidence: 99%

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Wang,

Liu

et al. 2023

Asian-Pac Economic Lit

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This paper investigates the connectedness between China's economic policy uncertainty (EPU) and the geopolitical risk (GPR) of the countries in the Association of Southeast Asian Nations (ASEAN) using quantile time‐varying parameter vector autoregression. The empirical results indicate that China's EPU becomes a net risk transmitter at the median quantile, demonstrating that ASEAN countries' GPR is vulnerable to China's economic shocks. Furthermore, extreme events such as COVID‐19 amplify the connection between EPU and GPR, leading to a higher total connectedness index value. Moreover, the pairwise spillover effect analysis reflects that the risk launcher effect of China's EPU is longer and more prominent for Thailand and the Philippines than for Malaysia and Indonesia, which enriches the hypothesis. The contributions are as follows. This paper selects emerging China as the research object and first discusses its economic influence on neighbouring countries. In addition, fully analysing the heterogeneous spillover effects of EPU on the GPR of different countries makes our suggestions diversified and practical. Therefore, improving recognisable ability and institutional quality will promote ASEAN countries to mitigate their vulnerability to China's EPU shocks. Meanwhile, China's government should quickly respond to external uncertainties, prudently adjust economic policies, and avoid large swings of EPU volatility.

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“…Previous studies have confirmed that the impact of economic policy uncertainty on some macroeconomic variables often has temporal differences in direction; for example, Gächter [60] found that the dependence of uncertainty on economic activities depends on the transmission of countries, and global uncertainty shocks can have adverse nonlinear effects on the macroeconomic system; at the same time, Caggiano [61] found that the Canadian unemployment rate reacted more strongly to the impact of the uncertainty of American economic policy during the Canadian economic depression through empirical research. Similarly, Li [62] believed that the impact of economic policy uncertainty on financial stability and the green bond in the long and short run may be different; that is, the impact of economic policy uncertainty on macroeconomic variables is time-varying. Based on this, hypothesis H1 is proposed: H1.…”

Section: Hypothesesmentioning

confidence: 99%

Research on the Impact of Global Economic Policy Uncertainty on Manufacturing: Evidence from China, the United States, and the European Union

Bai

2023

Sustainability

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Events such as COVID-19 and the Russia–Ukraine conflict have significantly increased the uncertainty and volatility of global economic policies. In the context of economic globalization, the key question we investigate is whether global economic policy uncertainty will have different impacts on the manufacturing of the three major economies in China, the United States, and Europe Union. This study employs the time-varying parameter vector autoregressive (TVP-VAR) model to examine how global economic policy uncertainty (GEPU) affected manufacturing from March 2008 to March 2023. The empirical results show that the effects of GEPU are time varying; its short-term effects on Chinese manufacturing are slightly greater than its medium- and long-term effects, whereas its medium- and long-term effects on manufacturing in the United States (US) and European Union (EU) are significantly greater than its short-term effects. The impact of European debt crisis, the China–US trade war and Russia–Ukraine conflict on EU manufacturing is higher than that of China and the US, and the impact of the COVID-19 pandemic on China’s manufacturing is much smaller than that of the US and the EU; thus, Chinese manufacturing has a greater capacity for risk mitigation than US and EU manufacturing. This study not only provides a new perspective on the study of global economic policy uncertainty; it also provides new empirical evidence on how global economic policy uncertainty affects the manufacturing sector in China, the US and Europe and provides policymakers with guidance for decision making.

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Do green bonds and economic policy uncertainty matter for carbon price? New insights from a TVP-VAR framework

Cited by 44 publications

References 76 publications

Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies

Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies

Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia

Research on the Impact of Global Economic Policy Uncertainty on Manufacturing: Evidence from China, the United States, and the European Union

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