Research On The Spillover Effects Between Green Bonds Market And Commercial Banks

Since the reform and opening up,China’s market economy and society have achieved rapid and vigorous development,but the extensive economic development model in the past has polluted the environment and gradually lacked resources.In recent years,the state has advocated the development of green financial economy,and the CPC Central Committee has paid more attention to the construction of ecological civilization and environmental governance,and has put forward the concept of green development.As a new type of financial model,green finance has attracted widespread attention from the society.As an important part of the green financial system,green bonds are a debt financing tool that provides financing for green projects with environmental benefits.With the rapid development of green finance,will the green bond market have certain effects on the traditional model of commercial banks?The impact and whether it will increase certain risks to commercial banks is unknown.This paper mainly analyzes the mean spillover effect and risk spillover effect between the green bond market and commercial banks.By selecting the daily closing prices of 16 commercial banks and the ChinaBond-China Green Bond Index,calculating the daily yield sequence respectively,and then fitting a vector autoregressive model to study the mean spillover effect between different commercial banks and the green bond market.The GARCH model is used to fit the return series,and the VaR value and CoVaR value are calculated by the GARCH-CoVaR model to measure the risk spillover effect.The results show that:1.The daily rate of return series has the distribution characteristics of sharp peaks and thick tails,and the GARCH model can be used to fit the daily rate of return series well.2.There is a two-way mean spillover effect between Bank of Ningbo and the green bond market,and both sides can act on each other’s forecasts;Agricultural Bank,Industrial and Commercial Bank of China,Ping An Bank,China Merchants Bank,and Bank of Beijing do not have mean overflow in the green bond market.effect;the remaining Bank of China,China Construction Bank,Bank of Communications,Minsheng Bank,Industrial Bank,Shanghai Pudong Development Bank,Hua Xia Bank,China CITIC Bank,China Everbright Bank,Bank of Nanjing and the green bond market have a one-way Granger causality effect,that is,only one party There is a one-way mean spillover effect on the prediction of the other side.3.Regarding the direction of the mean spillover effect,whether it is from commercial banks to the green bond market or from the green bond market to commercial banks,the mean spillover effect is negative,which is also in line with theoretical expectations.4.Regarding the degree of mean spillover effect,through variance analysis,it is concluded that the degree of mean spillover effect of commercial banks on the green bond market is greater than that of the green bond market on commercial banks.5.Compared with joint-stock commercial banks and city commercial banks,state-owned commercial banks have the lowest VaR value,indicating that state-owned commercial banks have stronger ability to resist risks.6.From the perspective of the two-way risk spillover effect,the risk spillover effect of the green bond market on commercial banks is far greater than the risk spillover effect of commercial banks on the green bond market;the green bond market has a positive risk spillover effect on commercial banks,that is,considering After the risk spillover effect of the green bond market,the value at risk of commercial banks increases;while some commercial banks have a negative risk spillover effect on the green bond market,that is,commercial banks diversify some of the risks in the green bond market,which is beneficial to the green bond market.risk management.7.Regarding VaR and%CoVaR,there is no certain relationship between the two.An institution with a larger VaR value indicates that it has a poor ability to resist risks,while%CoVaR is the risk spillover transmitted to other financial institutions when they encounter risks.The magnitude of the effect is not related to its own ability to resist risks.8.Compared with the traditional VaR method,the CoVaR method can more comprehensively measure the risk spillover effect between banks and the green bond market,and is more comprehensive.In conclusion,through empirical study,it is hoped that commercial banks can improve their ability to prevent risks according to the spillover effect of the green bond market on their risks,and can better prevent financial risks under the trend of vigorously developing green finance in the country,and undertake macro-control of transmission.Intent and serve the important task of the development of the real economy,and deal with various uncertain events and challenges.