国际绿色债券指数间联动性研究——基于DCC-GARCH模型的实证分析

Research on Interaction between International Green Bond Indexes——Empirical analysis based on DCC-GARCH model

随着绿色债券市场的持续扩张,研究其与传统债券市场联动性至关重要。本文选取国际市场上三只绿色债券指数和传统债券指数,应用DCC-GARCH模型分析其收益率之间的联动性。结果表明:MSCI与标普500债券指数收益率序列的相关性很强;Solactive与标普绿色债券指数收益率序列之间呈现负相关;此外,绿色债券与传统债券指数收益率序列动态相关系数呈现一定程度的不稳定性,波动剧烈但幅度不大。基于研究结论,本文为我国绿色债券发展提出对策建议。

As the green bond market continues to expand,it is important to study its linkage with the traditional bond market.This paper selects three green bond indexes and traditional bond indexes in the international market,and uses the DCC-GARCH model to analyze the linkage between their yields.The results show that the correlation between MSCI and the S&P 500 bond index yield series is strong;Solactive and the S&P green bond index yield series show a negative correlation;in addition,the green bond and traditional bond index yield series show a dynamic correlation coefficient.A certain degree of instability,with sharp fluctuations but small amplitude.Based on the research conclusions,this article proposes countermeasures for the development of green bonds in China.