基于VAR模型的绿色债券收益率影响因素分析

Analysis of the Influencing Factors of Green Bond Yield Based on VAR Model

随着人们对生态保护和经济可持续发展的日益重视以及国内双碳目标的提出,绿色产业的发展日益得到重视,绿色产业是指运用财政和金融手段,提高资源利用率,从而促进经济的低碳绿色转型。绿色债券作为绿色项目获取资金的一种重要工具,其收益率的影响因素对其有何影响具有重要的研究价值。本文运用中国近两年的绿色债券的收益率数据,分析传统债券市场、股票市场以及宏观市场对绿色债券市场的影响。采用向量自回归模型VAR分析与实证相结合的方法,通过脉冲响应函数来研究不同影响因素对绿色债券收益率的影响。研究发现在短期内,绿色债券市场与传统债券市场、股票市场以及宏观市场存在长期稳定关系。其中传统债券市场的发展对绿色债券市场发展具有较大影响,表明传统债券收益率自身发展对绿色债券收益率起主导作用。股票市场以及宏观市场对其影响相对较小。因此,投资者在对绿色债券进行投资时,可以通过合理配置资源组合来达到降低总体风险来达到提高收益率的目的,同时不可忽视其他市场的变动对绿色债券市场的影响,应统筹兼顾,合理安排。

With people’s increasing attention to ecological protection and sustainable economic development and the proposal of domestic dual-carbon goals, the development of green industry has been paid more and more attention. Green industry refers to the use of financial and financial means to improve the utilization rate of resources, so as to promote the low-carbon green transformation of the economy. As an important tool for green projects to obtain funds, green bonds have important research value on the influence of their yield factors. This paper uses the yield data of green bonds in China in the past two years to analyze the influence of the traditional bond market, stock market and macro market on the green bond market. The combination of vector autoregression model VAR analysis and empirical method is used to study the influence of different influencing factors on the green bond yield through the pulse response function. The study found that in the short term, the green bond market has a long-term stable relationship with the traditional bond market, the stock market and the macro market. Among them, the development of traditional bond market has a great impact on the development of green bond market, indicating that the development of traditional bond yield itself plays a leading role in the development of green bond yield. The stock market and the macro market have a relatively little impact on it. Therefore, when investors invest in green bonds, they can achieve the purpose of reducing the overall risk by achieving the reasonable allocation of resources. At the same time, the impact of changes in other markets on the green bond market should not be ignored, so they should take into account and make reasonable arrangements.