A Study On The Spillover Effects Between Green Bond Market And Related Financial Markets

Green bonds have both bond characteristics and green attributes,and can provide more financing opportunities for green projects or green enterprises,make up for the gap in green industry investment,and promote sustainable economic development.With the deepening of China's financial market reforms,the links between financial markets have strengthened.Correlations between the green bond market and other financial markets have made the changes in green bond prices closely related to changes in other financial asset prices.Therefore,studying the spillover effects between financial markets and green bond market is of great significance to the development of green bond markets.This article first sorts out related literature and understands existing research.Then we outline the relevant concepts of green bonds and the current status of development of international and domestic green bond markets.The formation of spillover effects between financial markets is explained from two aspects of information transmission and behavioral factors.On this basis,we use VAR,DCC-GARCH,and MVMQ-CAViaR models to study the differences of the spillover effects between green bond market and stock market,bond market,money market,foreign exchange market,real estate market from the perspective of mean spillover,volatility spillover and extreme risk spillover.The empirical results show that,first,in terms of the existence of spillover effects,mean spillover effects and volatility spillover effects exist in the stock market and green bond market,bond market and green bond market,real estate market and green bond market.Extreme risk spillover effects exist in the stock market and green bond market,real estate market and green bond market.It shows that there is a certain linkage between the green bond market and the financial markets.Second,in terms of the spillover effect of the green bond market on the related financial markets,except for the mean spillover on the bond market,the green bond market has no spillover effect on the other four financial markets.The results mean that China's green bond market is underdeveloped and the volume is small.Third,in terms of the spillover effects of the related financial markets on the green bond market,in the five financial markets,from the perspective of the mean spillover,the bond market has the biggest impact on the green bond market.Both the stock market and the real estate market can have weaker spillover effects on the green bond market.At the perspective of extreme risk spillover,only the risks of the stock market and real estate market can spill over into the green bond market.This shows that although there is a certain correlation between China's financial markets and the green bond market,that kind of correlation is still weak and is not conducive to the implementation of policies.Fourth,in terms of the impact of market shocks on other markets,the impacts of the stock market and money market will have negative influences on the return of the green bond market,while the impacts of the bond market and the real estate market will have positive impacts on the return.The impact of the stock market will have a negative influence on the VaR of the green bond market,while the impacts of the bond market,money market and real estate market will have negative influences on the VaR.Based on the results of empirical research,this article puts forward policy recommendations from the perspectives of issuers,investors,policy makers,and regulators on China's actual situation.Optimize the issuers,innovate green bond products,and raise awareness of environmental information disclosure.Improve investor structure,cultivate environmental awareness,and optimize investment structure.Formulate preferential financial and taxation policies,strengthen the management of funds raised and deepen the reform of the financial system.Formulate uniform green project standards,and strengthen management and financial supervision of information disclosure.The paper contains 18 figures,13 tables and 104 references.