中国绿债市场与国债市场间的极端风险传染效应研究

A Study on the Extreme Risk Contagion Effects between China’s Green Bond Market and Government Bond Market

中国绿色债券市场规模的迅速扩大使其与其他金融市场间的联系越发紧密,尤其是与国债市场间的关联性问题,可能影响到国民经济的平稳运行。本文选取2010-2020年间的共2738组中国绿色债券市场与国债市场代表数据,运用有偏t-APARCH-VaR方法测度极端风险,并使用VARMA-GARCH模型从极端风险传染角度分析中国绿色债券市场与国债市场间的风险溢出效应。结果表明:中国绿债市场与国债市场间具有明显的极端风险传染效应,在效应强度上存在着非对称性。国债市场对绿债市场的极端风险传染效应显著强于绿债市场对国债市场的极端风险传染效应,两市场绝大部分的波动与极端风险均集中于多头仓位。绿债市场对国债市场具有较强的依赖性,受自身波动和国债市场波动的影响大,持续性久,目前我国绿债市场仍存在着较大的风险。

The rapid expansion of China’s green bond market has made it increasingly interconnected with other financial markets,particularly the government bond market.The association between these markets may affect the smooth operation of the national economy.This study selected representative data from 2,738 pairs of China’s green bond market and government bond market between 2010 and 2020.The study employed the biased t-APARCH-VaR method to measure extreme risk and used the VARMA-GARCH model to analyze the risk contagion effects between China’s green bond market and government bond market from the perspective of extreme risk contagion.The results showed that there were significant extreme risk contagion effects between China’s green bond market and government bond market,and the effect intensity had asymmetry.The contagion effect of the government bond market on the green bond market was significantly stronger than that of the green bond market on the government bond market.Most of the volatility and extreme risk in both markets were concentrated in long positions.The green bond market was strongly dependent on the government bond market,and it was greatly affected by its own volatility and the government bond market volatility.This dependency was long-lasting,and there is still a significant risk in China’s green bond market.