What affects China's green finance? Evidence from cryptocurrency market, oil market, and economic policy uncertainty

Abstract

This paper discusses the dynamic long- and short-term effects of bitcoin price (BTP), crude oil price (COP), and uncertainty of economic policy (EPU) on China's green bond (CGB) market, separately. Depending on the quantile autoregressive distributed lag method, the empirical results are shown that BTP and EPU exert substantial positive and negative effects on the CGB market in the long term for most circumstances, while their effects reflect not prominent in the short term. The main contributions can be summarized as follows. Given that China is the largest bitcoin mining state and a major green bond issuer, this study first explores the linkages between them. Furthermore, both long- and short-term effects are investigated from BTP, COP, and EPU to CGB, and long-term effects are dominated in the interrelationships among variables, indicating that the CGB market is mainly driven by permanent shocks. In addition, the mentioned long-term effects are deeply discussed from time- and quantile-varying aspects. This approach considers diverse situations in the bond market and various incidents that occur at various durations of time. The results underscore the significance of market participants gaining a deeper comprehension of how BTP, COP, and EPU impact green bond within varying market conditions. Implementing specific policies, such as establishing a cohesive and efficient bond market and making careful adjustments to economic policies, can be advantageous in maintaining stability within the CGB market.

Keywords: Bitcoin price; Economic policy uncertainty; Green bond index; Non-asymmetry; Non-linearity; Oil price.