제목 : Does uncertainty affect the relationship between green bond and carbon emission markets?


저자 : BuKwon Kim


요약 :
Sustainable finance and regulation to achieve carbon neutrality are critical global issues for sustainable development goals. This paper explores the complex relationship between the green bond and carbon emission markets against the backdrop of increasing global uncertainty factors, including infectious disease risk (IDR), geopolitical risk (GPR), climate (CPU), global and US economic (GEPU and EPU), and monetary policy uncertainty (MPU). Using the GARCH-MIDAS-X and DCC-MIDAS-X models, the main results of this study reveal interesting responses of the green bond and carbon emission markets to the unique nature of each uncertainty, indicating a complementary relationship between these two markets. We find that temporary shock-related uncertainty (e.g., IDR and GPR) tends to weaken the relationship between the green bond and carbon emission markets, while policy-related uncertainty (e.g., CPU, GEPU, EPU, and MPU) strengthens this relationship. This highlights that different types of uncertainty, including temporary shock-related or policy-related uncertainties, can affect these markets in different ways, underlining the importance of managing these uncertainty factors to maintain a stable interaction between the two markets. This can, in turn, facilitate the gradual development toward a sustainable economy.