The Risk Spill-over Effects between China's Green Bonds and Financial Markets—A Study Based on the Time-varying Parameter Frequency Connectedness Model
Based on the results of the Time-Varying Parameter Vector Autoregressive(TVP-VAR)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.
green bondTVP-VAR frequency connectednessfinancial marketrisk shock
张国富、齐潇红、杜子平、张伟、孙华平
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天津科技大学经济与管理学院
北京理工大学管理与经济学院
北京理工大学能源与环境政策研究中心
College of Economics and Management,Tianjin University of Science and Technology,Tianjin 300457
Center for Financial Engineering and Risk Management,Tianjin University of Science and Technology,Tianjin 300457,China
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