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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. [ABSTRACT FROM AUTHOR]

Investing in green bonds has been recognized as a strategy that not only promotes environmental performance but also offers attractive investment returns. However, macroeconomic factors, such as geopolitical risk (GPR), climate policy uncertainty (CPU), and global economic policy uncertainty (GEPU), play a substantial role in shaping green bond returns. Using the returns of US green bonds as a proxy for the returns of green bonds, we argue in this paper that these heterogenous uncertainty measures might have asymmetric impacts on the returns of green bonds (GB). By employing monthly data from January 2016 to August 2022, we apply the nonlinear autoregressive distributed lags model (NARDL) to examine the asymmetric impact of these heterogenous uncertainty measures on the returns of GB. The NARDL findings reveal evidence of short-run asymmetric impacts of GPR, GEPU, and CPU on the returns of green bonds. In the long run, there is an asymmetric impact of GPR and CPU on the returns of GB. However, there is a symmetric impact of CPU on the returns of GB in the long run. Specifically, in the short run, we found that a positive CPU shock causes a decline in the returns of green bonds. A similar magnitude of negative CPU shock causes an increase in the returns of green bonds. Moreover, a positive shock to GPR increases the return of green bonds, while a comparable negative shock to GPR reduces the return of GB. Furthermore, only negative shocks to GEPU have an impact on GB returns in the short run. Specifically, a negative GEPU shock reduces GB returns. In the long term, the returns of GB are positively impacted by negative shocks in GPR and both positive and negative shocks in GEPU, whereas positive shocks in GPR affect the returns of GB negatively. [ABSTRACT FROM AUTHOR]

This paper investigates the impact of multidimension liquidity, credit risk, and the interaction between liquidity and credit risk on corporate bond spreads based on a large transaction data set from July, 2006 to June, 2016, including the monthly data of 3716 bonds in China. Our main findings reveal that liquidity premiums are the main parts of corporate bond spreads. The interaction between liquidity and credit risk plays a significant role in determining corporate bond spreads. In addition, the differences between the interbank market and the exchange market have a significant impact on corporate bond spreads in normal period, and the interaction between liquidity and credit risk has an enhanced impact on corporate bond spreads during financial crisis. We also find that the interaction between liquidity and credit risk will increase with the increase of liquidity risk and credit risk and it is a time-varying dynamic process. [ABSTRACT FROM AUTHOR]

Since 2012, green bond markets have boomed worldwide, particularly in the European Union, the United States, and China. Under this background, the researchers use the methods of literature research, qualitative analysis, and descriptive research to compare the structure of Chinese and American green bond markets and analyze their differences from the perspective of historical evolution, issuance standards, and market operation characteristics. The researchers believe that China's bank-oriented financial structure and America's market-oriented financial structure are the main reasons for the difference between the two countries. The researchers then discuss the strengths and weaknesses of China's green bond market and conclude that the advantages of China's green bond market structure lie in low risk and close relationships between banks and enterprises, while the disadvantages lie in low financial efficiency and give relevant suggestions. This article makes up for the lack of cross-country comparison in the existing research on the green bond market and provides a qualitative research perspective. The suggestions put forward have specific policy significance for developing the green bond market in China and other developing countries. [ABSTRACT FROM AUTHOR]

Although China's bond market is expanding quickly and on a bigger scale than the stock market, it still faces a number of issues. One issue that restricts its long-term development is the relatively small scale of credit bonds. For the growth of credit bonds, it is necessary to boost the credit rating market first. In this study, it is assumed that the higher the credit rating of the bonds, the lower the issue cost will be. To prove this hypothesis, an empirical analysis has been made herein on the influence of credit ratings on the bond floatation market. [ABSTRACT FROM AUTHOR]

This study investigates the factors impacting the price difference between the interbank market and the exchange market for the same bond using a large transaction dataset from July 2006 to June 2016 in China. We find that market liquidity and macrofactors mainly affect the price difference between the two markets for the same bond. And individual bond liquidity explains only a small part of the price difference. We also find that the interaction between liquidity and credit risk is an important factor affecting the price difference, and the effect is greater during financial crisis. [ABSTRACT FROM AUTHOR]