Extreme Time-Varying Spillover Effects between Green Bond Market and Related Financial Markets
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.
Green Bond MarketFinancial MarketsExtreme Time-Varying Spillover EffectsQuantile Vec-tor Autoregression
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