中国绿色债券市场与金融市场间的风险溢出效应研究

Research on Risk Spillover Effect between Green Bond Market and Financial Market in China

本文基于向量自回归模型的预测误差方差分解方法,研究中国绿色债券市场与传统固定收益市场、股票市场以及外汇市场等多种类型的金融市场间的风险溢出效应。实证结果表明,绿色债券市场与包括国债、高收益企业债券以及公司债券市场在内的传统固定收益市场的风险溢出效应最为显著,与股市和外汇市场间的风险溢出效应微弱;绿色债券市场的对外溢出效应强于其接收到的来自其他市场的溢出效应,并且绿色债券市场与传统固定收益市场间的风险溢出具有较大的不确定性。

Based on variance decomposition method of prediction error of vector autoregressive model, this paper studies the risk spillover effect between China’s green bond market and traditional fixed income market, stock market and foreign exchange market. The empirical results show that the risk spillover effect between green bond market and traditional fixed income market, including treasury bond market, high-yield enterprise bond market and corporate bond market, is the most significant;the risk spillover effect between green bond market and stock market or foreign exchange market is weak;the external spillover effect of green bond market is stronger than the spillover effect of other markets on green bond market,and there is uncertainty in the risk spillover effect between green bond market and traditional fixed income market.