Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model
This paper examines the dynamic linkages among economic policy uncertainty (EPU), the green bond market, the carbon market, and the macroeconomy using the time-varying parameter vector autoregressive (TVP-VAR) model with monthly data spanning from January 2016 to December 2021. Additionally, it asse...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2024-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2024/9892400 |
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| author | Min Liu Rong Huang Yang Lu |
| author_facet | Min Liu Rong Huang Yang Lu |
| author_sort | Min Liu |
| collection | DOAJ |
| description | This paper examines the dynamic linkages among economic policy uncertainty (EPU), the green bond market, the carbon market, and the macroeconomy using the time-varying parameter vector autoregressive (TVP-VAR) model with monthly data spanning from January 2016 to December 2021. Additionally, it assesses the robustness and accuracy of the empirical results through the Bayesian vector autoregressive (BVAR) model. The findings indicate that EPU negatively affects the green bond market in the short term but has a positive impact in the medium and long term. Conversely, EPU has a positive impact on the carbon market in the short term but a negative impact in the medium and long term. Furthermore, the green bond market negatively influences the carbon market in both the short and medium to long term. These results suggest that emerging markets, such as the green bond and carbon markets, are influenced by EPU. The adverse impact of the green bond market on the carbon market, however, contributes to expediting China’s attainment of its low-carbon objectives. Appropriate economic policies can play a vital role in accelerating the transition to a low-carbon economy. The study also reveals that the US-China trade war has expedited the development of green capital markets in China, despite its impact on the green economic transition in the country. These findings provide insights for the government and investors to formulate suitable strategies for risk mitigation. |
| format | Article |
| id | doaj-art-f57d450e251441f284b4a81fb2bb0999 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2024-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-f57d450e251441f284b4a81fb2bb09992025-02-03T07:23:44ZengWileyDiscrete Dynamics in Nature and Society1607-887X2024-01-01202410.1155/2024/9892400Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR ModelMin Liu0Rong Huang1Yang Lu2School of BusinessCollege of Economics and ManagementRattanakosin International College of Creative EntrepreneurshipThis paper examines the dynamic linkages among economic policy uncertainty (EPU), the green bond market, the carbon market, and the macroeconomy using the time-varying parameter vector autoregressive (TVP-VAR) model with monthly data spanning from January 2016 to December 2021. Additionally, it assesses the robustness and accuracy of the empirical results through the Bayesian vector autoregressive (BVAR) model. The findings indicate that EPU negatively affects the green bond market in the short term but has a positive impact in the medium and long term. Conversely, EPU has a positive impact on the carbon market in the short term but a negative impact in the medium and long term. Furthermore, the green bond market negatively influences the carbon market in both the short and medium to long term. These results suggest that emerging markets, such as the green bond and carbon markets, are influenced by EPU. The adverse impact of the green bond market on the carbon market, however, contributes to expediting China’s attainment of its low-carbon objectives. Appropriate economic policies can play a vital role in accelerating the transition to a low-carbon economy. The study also reveals that the US-China trade war has expedited the development of green capital markets in China, despite its impact on the green economic transition in the country. These findings provide insights for the government and investors to formulate suitable strategies for risk mitigation.http://dx.doi.org/10.1155/2024/9892400 |
| spellingShingle | Min Liu Rong Huang Yang Lu Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model Discrete Dynamics in Nature and Society |
| title | Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model |
| title_full | Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model |
| title_fullStr | Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model |
| title_full_unstemmed | Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model |
| title_short | Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP-VAR Model |
| title_sort | carbon market efficiency and economic policy uncertainty evidence from a tvp var model |
| url | http://dx.doi.org/10.1155/2024/9892400 |
| work_keys_str_mv | AT minliu carbonmarketefficiencyandeconomicpolicyuncertaintyevidencefromatvpvarmodel AT ronghuang carbonmarketefficiencyandeconomicpolicyuncertaintyevidencefromatvpvarmodel AT yanglu carbonmarketefficiencyandeconomicpolicyuncertaintyevidencefromatvpvarmodel |