Politická ekonomie X:X | DOI: 10.18267/j.polek.1517

Economic Policy Uncertainty, Geopolitical Dynamics, Energy Prices, and Green Bond Returns

Xiaohui Qu, Chaokai Xue, Mahmood Ahmad ORCID..., Qun Gao, Yuxi Wu
Xiaohui Qu, Business School, Shandong University of Technology, Zibo, Shandong, China
Chaokai Xue (corresponding author), Business School, Shandong University of Technology, Zibo, Shandong, China
Mahmood Ahmad, Business School, Shandong University of Technology, Zibo, Shandong, China; Department of Green Economics, Tashkent State University of Economics, Tashkent, Uzbekistan; Applied Science Research Center, Applied Science Private University, Amman, Jordan
Qun Gao, Business School, Shandong University of Technology, Zibo, Shandong, China
Yuxi Wu, Business School, Shandong University of Technology, Zibo, Shandong, China

This study investigates the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and liquefied natural gas (LNG) prices on green bond returns in China from August 2012 to July 2022. Using quantile-on-quantile regression (QQR), quantile Granger causality, and wavelet coherence analysis, we examine the relationships between these factors and green bond prices across different quantiles. Our findings reveal significant asymmetric impacts of EPU, GPR, and LNG prices on Chinese green bond returns. Specifically, EPU, geopolitical threats (GPRT) and LNG prices show strong positive effects on green bonds across most quantiles and frequencies. In contrast, geopolitical acts (GPRA) generally exhibit negative relationships with green bond returns. The quantile Granger causality tests confirm bidirectional relationships between the variables across multiple quantiles. The wavelet coherence analysis demonstrates time-varying co-movements between the factors and green bond prices, with stronger correlations observed in recent years, particularly at medium to high frequencies. The results show that green bonds can be used as an effective hedge against economic uncertainty and geopolitical risks. At the same time, the findings have important implications for investors, policymakers, and market participants to develop effective risk management strategies and promote sustainable finance in the face of global economic and geopolitical challenges.

Keywords: Economic policy uncertainty, geopolitical risks, green bond returns, quantile-on-quantile, wavelet analysis

Received: October 13, 2024; Revised: March 15, 2025; Accepted: June 9, 2025; Prepublished online: January 21, 2026 

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