Jeopolitik Risk, İklim Politikası Belirsizliği ve Ham Petrol Fiyatlarının ABD Yeşil Tahvil Piyasası üzerine Asimetrik Etkileri

Year 2025, Volume: 33 Issue: 65, 49 - 71, 17.07.2025

Arifenur Güngör

https://doi.org/10.17233/sosyoekonomi.2025.03.03

Abstract

Bu çalışmanın amacı, jeopolitik risk, iklim politikası belirsizliği ve ham petrol fiyatlarının ABD yeşil tahvil piyasasının getirisi ve gerçekleşen volatilitesi üzerindeki asimetrik etkilerini analiz etmektir. Bu amaç doğrultusunda; altı farklı model, Ocak 2010-Ağustos 2023 dönemine ait aylık veriler kullanılarak doğrusal olmayan otoregresif dağıtılmış gecikme (NARDL) metoduyla tahmin edilmiştir. Analiz sonuçları, uzun dönemde jeopolitik risk ve iklim politikası belirsizliğinde meydana gelen bir azalmanın yeşil tahvil getirisini artırdığını göstermektedir. Bununla birlikte, yeşil tahvil getirisi ve gerçekleşen volatilitesinin ham petrol fiyatları ve gerçekleşen volatilitesiyle uzun dönemde pozitif ilişkili olduğu bulgulanmıştır.

Keywords

Yeşil Tahvil , Jeopolitik Risk , İklim Politikası Belirsizliği

Asymmetric Effects of Geopolitical Risk, Climate Policy Uncertainty, and Crude Oil Prices on the US Green Bond Market

Abstract

This paper examines the asymmetric effects of geopolitical risk, climate policy uncertainty, and crude oil prices on returns and realised volatility in the US green bond market. Using the nonlinear autoregressive distributed lag (NARDL) method on monthly data from January 2010 to August 2023, this paper provides evidence that, in the long run, a decline in geopolitical risk and climate policy uncertainty is associated with an increase in green bond returns. Additionally, the returns and realised volatility of green bonds are positively influenced by increased crude oil prices and the long-term fluctuations in crude oil prices. The findings of this paper offer valuable insights for making informed green investment decisions, considering the asymmetric impacts of geopolitical risks, climate policy uncertainty, and fluctuations in crude oil prices.

Keywords

Green Bond , Geopolitical Risk , Climate Policy Uncertainty

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