Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices

• Heterogeneous responds of green bonds in the US, Europe and China to CPU, IDEMV, OVX and GPR are compared for the first time. • The newly developed Climate Policy Uncertainty (CPU) index of Gavriilidis (2021) is used. • Explore asymmetric effects of green bonds to multiple uncertainties both in the long- and short-run by NARDL approach. • In the short-run, only China's green bond is asymmetrically affected by uncertainties. In the long-run, the asymmetric effects exhibited by European green bond market are more extensive and share similar characteristics to US. Employing the nonlinear ARDL model, this paper examines the asymmetric effects of Climate Policy Uncertainty (CPU), Infectious Disease Equity Market Volatility (IDEMV), the CBOE Crude Oil Volatility Index (OVX), and Geopolitical Risks (GPR) on green bond prices in the US, Europe, and China. The results show that the green bond markets in the US, Europe and China exhibit heterogeneities facing uncertainties. In the short-run, only China's green bond market is asymmetrically affected by uncertainties. In the long-run, the asymmetric effect exhibited by European green bond market is more extensive and shares similar characteristics to that of the US.