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<p>The current study investigates how Economic Policy Uncertainties (EPUs) from both an emerging economy (Indian) and a developed economy (the United States) influences sectoral dynamics in the Green Bond market. Using monthly data from January 2016 to December 2023, we employ a quantile regression framework to capture the state-dependent and heterogeneous effects of uncertainty across the conditional distribution of Green Bond returns. The results reveal pronounced asymmetry in the transmission of uncertainty across market conditions and sectors. USEPU exhibits a statistically significantly influence on Morgan Stanely Capital International Green Bond returns (MSCIGB) at upper and intermediate quantiles. In contrast, Indian EPU shows a more limited influence, becoming significant only at the upper tail of distribution. At the sectoral level Financial GB (FINGB) demonstrate greater sensitivity to USEPU, consistent with their higher degree of global financial integration, while their response to Indian uncertainty remains comparatively muted. Utility GBs remain stable against Indian EPU but respond to US EPU at higher quantiles. The green building sector is largely unaffected by Indian EPU (IEPU) but reacts to USEPU, highlighting its reliance on global financial trends. Overall, the findings highlight the importance of accounting for both cross-country sources of uncertainty and distributional heterogeneity when analyzing sustainable financial markets. The study contributes to the emerging literature on green finance by providing evidence on the differentiated and state-cointegrated effects of policy uncertainty, with implications for portfolio allocation, risk management, and the design of resilient sustainable investment strategies. </p>

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Shades of green: quantile regression insights into the effects of EPUs from an Emerging and developed economy on green bond markets

  • 期刊论文

  • 发表日期：

    2026年5月25日

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  • Minu Kumari,
  • Anil K. Sharma

摘要

The current study investigates how Economic Policy Uncertainties (EPUs) from both an emerging economy (Indian) and a developed economy (the United States) influences sectoral dynamics in the Green Bond market. Using monthly data from January 2016 to December 2023, we employ a quantile regression framework to capture the state-dependent and heterogeneous effects of uncertainty across the conditional distribution of Green Bond returns. The results reveal pronounced asymmetry in the transmission of uncertainty across market conditions and sectors. USEPU exhibits a statistically significantly influence on Morgan Stanely Capital International Green Bond returns (MSCIGB) at upper and intermediate quantiles. In contrast, Indian EPU shows a more limited influence, becoming significant only at the upper tail of distribution. At the sectoral level Financial GB (FINGB) demonstrate greater sensitivity to USEPU, consistent with their higher degree of global financial integration, while their response to Indian uncertainty remains comparatively muted. Utility GBs remain stable against Indian EPU but respond to US EPU at higher quantiles. The green building sector is largely unaffected by Indian EPU (IEPU) but reacts to USEPU, highlighting its reliance on global financial trends. Overall, the findings highlight the importance of accounting for both cross-country sources of uncertainty and distributional heterogeneity when analyzing sustainable financial markets. The study contributes to the emerging literature on green finance by providing evidence on the differentiated and state-cointegrated effects of policy uncertainty, with implications for portfolio allocation, risk management, and the design of resilient sustainable investment strategies.