Research On The Spillover Effect Of Economic Policy Uncertainty On Green Bond Market With Mixed-Frequency Data

At present,environmental issues have become the urgent key issues to be solved in China’s deepening reform and sustainable development.Therefore,China should enhance the capacity of green development and accelerate the development of green finance,of which green bonds are an important part of the green financial system.Economic policy uncertainty covers all the uncertainties in the process of relevant policy changes.At home and abroad,China’s economic policies are facing serious uncertainties,and economic policy risks have an increasing impact on the financial market.Therefore,in the development of green bonds under the critical situation,research on the green economic policy uncertainty influence on the bond market is of great significance,can make the investor understanding green bonds market fluctuations,make effective investment decisions,help advance economic policymakers to predict policy implementation effect,and is helpful to enhance the regulation efficiency regulators.This paper studies the mixed spillover effect of China’s economic policy uncertainty on the green bond market from two aspects: mean spillover and volatility spillover.After organizing the related literature,this paper analyses the spillover effect of China’s economic policy uncertainty on the green bond market in the aspect of theory.Then build mixed frequency,according to the model for empirical research in empirical research: first of all,this paper,by using MF-VAR model to analyze our country economic policy uncertainty on green mean spillover effect on the bond market,the study found that China’s economic policy uncertainty has the mean spillover effect to green bond market yields,but the effect is weak.Secondly,this paper uses GARCH-MIDAS model analysis of economic policy uncertainty on green bond market volatility spillover effects,the results shows that the absolute change of the economic policy uncertainty and volatility in green long-term bond market volatility a positive impact,namely the absolute change of the economic policy uncertainty index and the greater the volatility,green bond market yield fluctuation,the more severe for a long time,so economic policy uncertainty is one of the important driving factors in green bond market volatility.This paper innovatively uses the mixing model to study the mixing spillover effect of economic policy uncertainty on the green bond market,but the weakness is that the theoretical analysis is weak,and the paper does not take macroeconomic factors into account.Countermeasures can be concluded from the research conclusion is as follows,the government and other policy-making departments should fully consider the impact of economic policies on the green bond market when making policies,investors should correctly understand the green market fluctuations and avoid irrational behaviour,regulators should strengthen the supervision and management,promote the stable development of the green bonds market.