绿色债券与其他金融市场间的风险溢出研究——基于TVP-VAR频域溢出模型  

The Risk Spill-over Effects between China's Green Bonds and Financial Markets——A Study Based on the Time-varying Parameter Frequency Connectedness Model

作　　者：张国富[1] 齐潇红 杜子平[1,3] Zhang Guofu;Qi Xiaohong;Du Ziping(College of Economics and Management,Tianjin University of Science and Technology,Tianjin 300457;School of Management&Economics,Beijing Institute of Technology,Beijing 100081;Center for Energy&Environmental Policy Research,Beijing Institute of Technology,Beijing 100081;Center for Financial Engineering and Risk Management,Tianjin University of Science and Technology,Tianjin 300457,China)

机构地区：[1]天津科技大学经济与管理学院 [2]北京理工大学管理与经济学院、能源与环境政策研究中心 [3]Center for Financial Engineering and Risk Management, Tianjin University of Science and Technology,Tianjin 300457,China

出　　处：《江苏大学学报（社会科学版）》2024年第2期44-54,80,共12页Journal of Jiangsu University(Social Science Edition)

基　　金：天津市哲学社会科学规划课题(TJYY16-018、TJYJ21-009)。

摘　　要：基于TVP-VAR频域溢出模型的风险溢出结果表明:绿色债券与其他金融市场之间的总溢出主要由短期溢出驱动;在不同的时间尺度,绿色债券和传统债券市场间存在显著的双向溢出效应,绿色债券市场与股票市场、能源市场、新能源市场、外汇市场之间的风险溢出均不显著;在重大事件冲击下,绿色债券市场与股票市场、能源市场、新能源市场间的风险溢出显著增加。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.

关 键 词：绿色债券 TVP-VAR频域溢出 金融市场 风险冲击 

分 类 号：F832.5[经济管理—金融学]