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中国绿色债券市场与股债市场的风险溢出效应研究 被引量:1

Research on Risk Spillover Effects of China's Green Bond Market and Equity Bond Market
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摘要 近年来,高速发展的绿色债券市场为符合我国“3060”双碳目标项目提供了大量金融资源,有力地引导了社会资本流向环境偏好型项目,促进了社会的绿色转型发展。本文以2005年1月5日—2021年12月31日中债-中国绿色债券净价指数、中债国债净价指数及沪深300指数日数据为样本,构建DCC-GARCH模型对绿色债券市场与传统债券市场和股票市场之间的风险溢出效应进行研究。研究表明,我国绿色债券市场与传统债券市场之间存在较强的风险溢出效应;而绿色债券市场与股票市场之间的动态相关性较弱,风险不容易在绿色债券市场与股票市场之间传导。 In recent year,the fast-growing green bond market has provided a large number of financial resources for projects that meet China’s"3060"dual-carbon goals,which effectively guided the flow of social capital to environmentally preferred projects,and promoted the green transformation and development of the society.This paper takes the daily data of China Bond-China Green Bond Net Price Index,China Bond Government Bond Net Price Index and CSI 300 Index from January 5,2005 to December 31,2021 as samples to construct a DCC-GARCH model.Research on the risk spillover effect between the green bond market and the traditional bond and stock market shows that there is a strong risk spillover effect between China’s green bond market and the traditional bond market,while the dynamic correlation between the green bond market and the stock market is relatively weak,the risks are not easily transmitted between the green bond market and the stock market.
作者 周游 ZHOU You(School of Finance,City University of Macao Macao,China 999078;School of Economics and Management,Hanshan Normal University Chaozhou,Guangdong 515633)
出处 《中国商论》 2022年第20期100-104,共5页 China Journal of Commerce
关键词 绿色债券市场 股债市场 DCC-GARCH 动态相关性 风险溢出效应 green bond market stock and bond market DCC-GARCH dynamic correlation risk spillover effect
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