Research On Risk Dependence Of Green Bonds And Related Financial Markets Based On Copula Model

The "30·60" double carbon target reflects that China attaches great importance to the construction of ecological civilization.As an innovative product of green finance,green bond can provide enterprises with the necessary financial support for environmental protection and guide more funds to environmentally friendly projects,which is an important driving force for the construction of ecological civilization.Since the official launch of China's green bond market in 2016,the development of green bond is booming.As an emerging product,green bond is an essentially financial instrument.With the continuous development of green bond and the accelerated dissemination of information,the relationship between green bond and other financial markets is becoming closer and closer.However,China's green bond have not yet entered a mature period of development,there are still many uncertain factors.At present,China's economy is in a new stage of pursuing high-quality development,and more attention should be paid to the service quality and stability of new financial instruments.Therefore,an in-depth study on the interdependence and risk degree between green bond and other relevant financial markets is of great significance for promoting the healthy and rapid development of green finance.Based on the two perspectives of financial market interdependence and extreme risk,this paper analyzes the relationship and role of green bond market,traditional bond market and green stock market.Select 2011-2020 China Bond-China Green Bond Net Price Index,China Bond Total Net Price Index,China Securities Mainland Low Carbon Index as the research objects.Firstly,the GARCH model is used to fit the fluctuations of a single index to establish the optimal marginal distribution.Then,correlation analysis is carried out based on static Copula.The fitting effects of different Copula models were compared.Considering that the correlation between green bond and national debt and low-carbon index inevitably changes during the development of green bond,this paper integrates the Copula model into DCC-GARCH to discuss the dependent structure of green bond,national debt and low-carbon index from the perspective of time variation,and compares the performance of two time-varying DCC-GARCH-Copula in the process of fitting.Finally,on this basis,VaR model and CoVaR model are used to analyze the extreme risk level and extreme risk spillover effect of green bond,traditional bond market and green stock market.The empirical results show that:DCC-T-Copula is better than DCC-Gaussian-Copula,DCC-GARCH and static Copula in describing the correlation of green bond.There is a significant positive correlation and tail correlation between green bond and national debt,while there is an insignificant negative correlation between green bond and low-carbon index,but this negative correlation is gradually increasing.Compared with the traditional bond market,green bond market is characterized by low risk and low return.Although the risk level of green bond is low,they are more sensitive to extreme risks.The spillover risk of green bond mainly comes from the bond market.Green bond is vulnerable to external influences but the spillover ability of external risks is weak.The spillover effect between green bond and low-carbon index is weak.As the negative correlation between green bond and low-carbon index becomes prominent,positive risk spillover will occur between the two,and the risk diversification ability will be enhanced,investors will be able to obtain income compensation.This paper hopes to play a positive role in the healthy development of green bonds and provide some new references for investors and regulators.