The Risk Spillover Effects between Chinas Green Bonds and Financial Markets— A Study Based on the Timevarying Parameter #br#
Frequency Connectedness Model
Zhang Guofu1, Qi Xiaohong2,3, Du Ziping1,4
1. College of Economics and Management, Tianjin University of Science and Technology, Tianjin 300457;
2. School of Management & Economics, Beijing Institute of Technology, Beijing 100081;
3. Center for Energy & Environmental Policy Research, Beijing Institute of Technology, Beijing 100081;
4. Center for Financial Engineering and Risk Management, Tianjin University of Science and Technology, Tianjin 300457, China
Abstract：Based on the results of the TimeVarying Parameter Vector Autoregressive (TVPVAR) frequency connectedness model, the risk spillover effects between green bonds and other financial markets are primarily transmitted in the short term. Significant bidirectional spillover effects between the green bond market and the traditional bond market are observed across different time scales, whereas the risk spillover between the green bond market and the stock market, energy market, new energy market, and foreign exchange market is not statistically significant. Under the impact of major events, there is a notable increase in risk spillover between the green bond market and the stock market, energy market, and new energy market.
张国富，齐潇红，杜子平. 绿色债券与其他金融市场间的风险溢出研究——基于TVPVAR频域溢出模型[J]. 江苏大学学报（社会科学版）, 2024, 26(02): 44-54.
Zhang Guofu1, Qi Xiaohong2,3, Du Ziping1,4. The Risk Spillover Effects between Chinas Green Bonds and Financial Markets— A Study Based on the Timevarying Parameter #br#
Frequency Connectedness Model. Journal of Jiangsu University（Social Science Editi, 2024, 26(02): 44-54.
