| As an important new green financial instrument,green bonds are both "green" and"bonds".With the prevalence of green development,China’s green bond market is growing rapidly in scale and market share,and has become one of the largest green bond markets in the world.However,the development of any new financial instrument will inevitably intersect with traditional financial markets to generate new products,and in the process,certain risks will be accumulated and will be contagious in the expanding market.This paper first introduces the background and significance of green bonds,followed by the design of the research methodology,possible innovations and shortcomings.By reading the literature and empirical methods related to green bond risk spillover at home and abroad,ten markets including green bonds and stocks,traditional bonds,and real estate are used as the research objects on this basis.Based on the volatility spillover index network,this paper uses ten indicators such as "China Bond-China Green Bond Net Price Index" as the relevant market proxy variables,and selects the time span from January 5,2015 to December 31,2021,with the frequency being daily,and the data from Wind database.After trying different distributions with GARCH models,the most suitable volatility for each market is extracted;using vector autoregression(VAR)modeling,the financial market risk spillover index is obtained by generalized variance decomposition(Generalized Variance Decompose);secondly,a suitable number of steps is selected as a rolling window to track the financial market risk spillover effect over Secondly,we select the appropriate number of steps as the rolling window,track the characteristics of the financial market risk spillover effect over time,and analyze the empirical results from the full sample period and the special volatility period;construct the adjacency matrix through the volatility spillover index,construct the financial market risk spillover network(Risk Spillover Network),calculate the central indicator of the network,and explore the change law of the structure of the financial market risk spillover network.Meanwhile,from another perspective,the BK model spillover index is obtained by VAR using return and volatility,and the spillover index is analyzed based on BK in different frequency domains,and a market pair net risk spillover index weighted directed risk network is established to analyze the risk network characteristics of the market in different frequency domains;the centrality index of nodes in different frequency domains is calculated to analyze the importance changes of nodes in different risk spillovers.Finally,the macroeconomic factors variables are selected for impulse response analysis with the overall risk spillover index to analyze the impact of macroeconomic factors on the overall risk spillover level of the market.The empirical results show that(1)The volatility spillover effect of green bonds has certain time-varying characteristics.Green bonds may act as risk spillovers in the short run,but in the long run,green bonds have negative net risk spillovers and are recipients of risk spillovers.(2)The risk spillover results under the DY spillover index and BK spillover index are similar,and green bonds have significant risk spillover with the markets of stocks,traditional bonds,funds,and futures,and the risk spillover between green bonds and traditional bonds is symmetric and the absolute value of the spillover is similar;(3)The risk spillover network can accurately capture the risk spillover in financial markets.The network structure tightens with the market fluctuations,which is reflected by the increase of the neutral edges in the network and the significant increase of the centrality index of the network nodes,and can visually present the changes of the financial market risk spillover caused by external events.(4)From the frequency domain,green bonds and traditional bonds have a significant volatility spillover relationship in the long term,but not in the short and medium term;while both have a significant spillover in the yield spillover in the long,short and medium term,and the yield spillover of the whole research market network is significantly larger than the volatility spillover,and the network as a whole is more tightly connected.(5)From the impulse response results,the economic policy uncertainty EPU has a significant impact on the volatility spillover and return spillover of green bonds and the related market as a whole.This paper enriches the research object of green bonds and financial market risk spillover,selects several markets into the research system,and methodologically integrates two spillover indices,establishes different spillover networks,and conducts impulse response analysis.Therefore,this paper is richer in terms of research objects and methods,and is more in line with the situation of risk spillover in reality.Since green bonds have not yet formed a unified proxy index,while the data selection in this paper will be disturbed by the availability and consistency of transaction frequency to a certain extent,the conclusion may be affected. |
