绿色债券市场与相关金融市场间极端时变溢出效应研究
Extreme Time-Varying Spillover Effects between Green Bond Market and Related Financial Markets
陈颖靓 1史桂芬2
作者信息
- 1. 东北师范大学经济与管理学院,吉林长春 130117
- 2. 东北师范大学经济与管理学院,吉林长春 130117;东北师范大学应用统计教育部重点实验室,吉林长春 130117
- 折叠
摘要
将分位数回归(QVAR)与时变向量自回归(TVP-VAR)模型相结合,研究绿色债券市场与传统固定收益市场、大宗商品市场、股票市场和货币市场之间的极端溢出效应.结果表明:在不同的市场条件下,绿色债券市场的跨市场风险溢出表现出差异性,且具有时变性特征;在极端市场环境下,绿色债券市场与相关金融市场的关联性增强,导致风险溢出水平显著提高,且极端上行市场的风险溢出水平明显高于极端下行市场,绿色债券相较于公司债券和高收益企业债券,展现出更低的总体风险溢出水平和波动特征;绿色债券市场在发展过程中,在常态市场和极端负面市场下风险溢出程度有所收敛,在极端正面市场条件下则表现出波动频繁、市场活跃的特征.市场主体在制定风险管理策略时,应认识到绿色债券在不同市场条件下的差异性和时变性特点,有针对性地强化极端市场环境下的风险管理;相关部门要加强绿色债券市场制度建设,促进绿色债券市场的创新发展.
Abstract
Quantile vector autoregression is combined with time-varying parameter-vector autoregression to study the extreme spillover effects of green bonds with fixed income markets,commodity markets,stock mar-kets,and money markets.The results indicate that the cross-market risk spillover of green bonds exhibits dif-ferences and time-varying characteristics in different markets.In extreme market environments,the correla-tions between the green bond market and related financial markets are enhanced,leading to increased risk spillover.In addition,the risk spillover in extremely rising markets is significantly higher than that in ex-tremely declining markets.Green bonds exhibit lower overall risk spillover and fluctuations than corporate bonds and high-yield corporate bonds.In the development of the green bond market,the risk spillover con-verges in both normal and extremely negative markets,while it exhibits frequent fluctuations and high activi-ties in extremely positive markets.When formulating risk management strategies,market entities should recog-nize the differences and time-varying characteristics of green bonds under different market conditions and strengthen risk management in extreme market environments in a targeted manner.Relevant departments should build up the green bond market system and promote the innovative development of the green bond mar-ket.
关键词
绿色债券市场/金融市场/极端时变溢出效应/分位数回归Key words
Green Bond Market/Financial Markets/Extreme Time-Varying Spillover Effects/Quantile Vec-tor Autoregression引用本文复制引用
出版年
2024
NETL
NSTL
万方数据