Decoding asymmetries: how global and Indian EPU shape green bond returns—a NARDL analysis

Purpose This study examines the impact of Global and Indian EPU, along with CPU, MPU, and VIX, on the Green Bond (GB) market from 2016 to 2023. Design/methodology/approach Utilizing the Non-Linear Autoregressive Distributive Lag (NARDL) approach, we analyze both long- and short-run impacts. Findings Our findings reveal that GEPU negatively impacts green bond returns (RGB) in the long term but positively in the short term, showing asymmetry in both periods. Indian EPU has a negative long-term and positive short-term effect, with asymmetry only in the short term. CPU and VIX positively influence RGB in the long term, while MPU has a negative impact, with all indices showing asymmetric responses. Practical implications We support that by monitoring policy developments and market conditions, investors can make more informed decisions about when to hold or divest GBs, optimizing their portfolios in response to changing economic, climate, monetary and market landscapes. In emerging economies, stable policies and partnerships can unlock green finance and support global sustainability goals. Originality/value The influence of economic uncertainties on GBs remains underexplored, with no prior studies examining the asymmetric effects of global and Indian EPU or the simultaneous impact of CPU, MPU, and VIX. This research addresses these gaps by analyzing the effects of these uncertainties on the GB market.