The Effect of Green Bonds on Climate Risk Amid Economic and Environmental policy uncertainties

Abstract

This study investigates the impact of green bonds on climate risk indices, specifically considering the Economic Policy Uncertainty (EPU) Index and the climate summit index. The analysis covers the time frame from November 28, 2008, to August 31, 2022, using multivariate quantile-on-quantile regression (MQQR) and quantile-onquantile regression (QQR) approaches. The main findings indicate that green bonds have significant potential in addressing climate risk despite economic and environmental policy uncertainty. This suggests the need for an incentive framework to support the development of green bonds in the American market to facilitate progress towards achieving Sustainable Development Goal 13 concerning climate action