我国绿色债券市场的风险特征与风险溢出效应研究  

Research on the Risk Characteristics and Spillover Effect of Chinese Green Bond Market

作　　者：课题组 李玉辉[2] Research Group

机构地区：[1]不详 [2]中国人民银行宝鸡市中心支行

出　　处：《西部金融》2022年第11期31-40,共10页West China Finance

摘　　要：作为促进绿色低碳经济发展的重要金融工具,绿色债券和绿色股票在绿色资产配置中占据相当大的比例。随着我国绿色债券市场的蓬勃发展和金融市场间互联互通程度的不断加深,两者在融合过程中极可能积累一定程度的风险,进而使得两大市场间的风险相互传染,导致风险溢出。本文考虑到市场极端风险条件,选取中债-中国绿色债券净价指数与上证环保产业指数日收盘价数据作为研究样本,构建EVT-Copula-CoVaR模型测度绿色股票市场对绿色债券市场风险溢出效应的方向和大小。研究表明,绿色股票市场对绿色债券市场产生正向溢出效应,且随着置信水平的不断提高,溢出强度越大。As an important financial instrument to promote the development of green and low-carbon economy,green bonds and green stocks occupy a considerable proportion in the allocation of green assets.With the vigorous development of our green bond market and the deepening of the interconnection between financial markets,the two are likely to accumulate a certain degree of risk in the process of integration,which will make the risk between the two markets infectious,leading to risk spillover.Considering the extreme market risk conditions,this paper selects the daily closing price data of China Bond-China Green Bond net price index and Shanghai Environmental Protection Industry Index as research samples,and constructs EVT-Copula-CoVaR model to measure the direction and magnitude of the risk spillover effect from the green stock market to the green bond market.The research shows that the green stock market has a positive spillover effect on the green bond market,and the spillover intensity increases with the continuous improvement of the confidence level.

关 键 词：绿色债券市场 绿色股票市场 风险溢出效应 EVT-Copula-CoVaR 

分 类 号：X196[环境科学与工程—环境科学] F832.5[经济管理—金融学]