统计与数据科学学院知识库

  在双碳目标的驱动下，绿色债券市场作为绿色金融的新兴板块得到了快速发展。与传统金融市场融合发展中，容易受到跨市场风险传导，深入研究绿色债券市场与其他金融市场之间的溢出效应是预防发生系统性风险的基石，也是优化投资者资产配置的重要支撑。在此背景下，本文以绿色债券市场与其他金融市场为研究对象，选取各市场代表性变量的收益率为样本，利用分位数向量自回归与广义预测误差方差分解相结合的方法（QVAR-DY），从静态和动态两个角度分析了不同市场状态下绿色债券与传统债券、股票、外汇市场之间的溢出效应。进一步，利用分位数回归方法，分析各影响因素对市场间风险溢出影响的异质性。

  主要研究结果为：第一，不论金融市场处于何种状态，绿色债券市场与传统债券市场之间存在着明显的溢出效应，而与股市、汇市的溢出效应相对较弱。第二，在金融市场正常状态下，条件均值和条件中值的各溢出水平具有相似性与差异性。而极端市场下的总溢出水平激增，且呈现出“非对称性”和“时变性”的特点，相比于极端下行状态而言，极端上行状态的总溢出水平高、绿色债券市场受到其他市场的风险溢入较弱；“时变性”体现在不同的时间范围内，各市场的溢出角色会发生短暂变化。第三，就影响因素而言，各因素在不同溢出水平的作用存在显著差异。金融环境处于极端下行状态时，宏观经济景气指数对风险溢出的正面作用最为突出；正常状态时，经济政策的负面影响最为显著，极端上行状态时，利率的负面影响最为强烈。在整个条件分布上，各影响因素的趋势也不同，随着市场状况的改善，宏观经济景气指数呈现出下降趋势，经济政策和利率呈现出上升趋势，而投资者情绪的影响则表现为先增后减，呈“倒U型”趋势变化。

  基于研究结果，提出以下对策建议：第一，政府应继续在深化金融体制改革方面下足功夫，同时，时刻警惕防范外部重大风险事件对我国金融体系的冲击，防止风险的跨市场蔓延传播。第二，鉴于绿色债券在不同市场环境下呈现出差异性与时变性的特点，金融监管部门与绿色债券领域的专业人士需充分考虑其复杂性，以制定更具针对性的策略。第三，投资者需综合考量自身风险偏好、资产的盈利潜力、资产的长期价值以及宏观经济政策等因素进行多元化投资组合。

    Driven by the dual carbon goals, the green bond market has rapidly developed as an emerging sector of green finance. In the integration with traditional financial markets, it is susceptible to cross-market risk transmission, making in-depth research on the spillover effects between the green bond market and other financial markets the cornerstone of preventing systemic risks and an important support for optimizing investors asset allocation. In this context, this paper studies the green bond market and other financial markets, selecting the returns of representative variables from each market as samples, and utilizes a combination of Quantile Vector Autoregression and Generalized Forecast Error Variance Decomposition (QVAR-DY) to analyze the spillover effects between green bonds and traditional bonds, stock, and foreign exchange markets from both static and dynamic perspectives under different market conditions. Furthermore, the study employs quantile regression methods to analyze the heterogeneity of the impact of various influencing factors on the spillover effects of risk between markets.

    The main research findings are: first, regardless of the state of the financial market, there is a significant spillover effect between the green bond market and the traditional bond market, while the spillover effects from the stock market and foreign exchange market are relatively weak. Second, under normal financial market conditions, the spillover levels of conditional means and conditional medians show both similarities and differences. In extreme market conditions, the total spillover level surges and exhibits characteristics of “asymmetry” and “time-varying”. Compared to extreme downward states, the total spillover level in extreme upward states is higher, and the green bond market experiences weaker risk spillover from other markets; “time variability” is reflected in the fact that the spillover roles of different markets can change temporarily over different time frames.Thirdly, in terms of influencing factors, there are significant differences in the effects of various factors at different spillover levels. When the financial environment is in an extreme downturn, the positive effect of the macroeconomic prosperity index on risk spillovers is most prominent; in normal conditions, the negative impact of economic policy is the most significant, and in extreme upturns, the negative impact of interest rates is the strongest. Throughout the entire conditional distribution, the trends of each influencing factor are also different. As market conditions improve, the macroeconomic prosperity index shows a decreasing trend, while economic policy and interest rates display an increasing trend, and the impact of investor sentiment shows an initial increase followed by a decrease, forming an “inverted U-shaped” trend.

    Based on the research results, the following policy recommendations are proposed: firstly, the government should continue to make sufficient efforts in deepening the reform of the financial system, and at the same time, be vigilant in preventing the impact of major external risk events on financial system in China , and prevent the spread of risks across markets. Secondly, given the diverse and time-varying characteristics of green bonds in different market environments, financial regulatory authorities and professionals in the green bond field need to fully consider their complexity in order to develop more targeted strategies. Thirdly, investors need to consider their own risk preferences, the potential for asset profitability, the long-term value of assets, and macroeconomic policies in order to diversify their investment portfolio.