Measurement Of Spillover Effect Between Green Bond Market And Traditional Bond Market In China

Green bond is the fastest growing financing method in the field of green finance in China.The funds raised are mainly invested in environment-friendly projects,which can effectively fill the gap in investment of green industry and enable the economy to achieve better development.Nowadays,the process of global integration is accelerating the pace of financial innovation in China,the mode of interactive development is formed among various financial markets.Because there is a very close connection between the green bond market and other financial markets,which has caused the great changes in the price of green bond,these are also related to the change of financial asset price.Therefore,it is of strong practical significance to measure the spillover effects between China’s green bond market and the traditional bond market.First of all,this paper sorts out and classifies the research achievements of domestic and foreign scholars,and summarizes relevant literatures from four aspects.Secondly,it introduces related concepts of spillover effect,and expounds the formation mechanism of spillover effect between green bond market and related financial market.Based on this,VAR,DCC-GARCH and Copula-Co Va R models are created to study the spillover effects between the corporate bond market and the green bond market,as well as between the corporate bond market and the national bond market,starting from the aspects of extreme risk spillover,volatility spillover and mean spillover.The research findings of this paper are as follows:(1)There are three spillover effects: mean value,volatility and extreme risk among the national debt market,corporate bond market,corporate bond market and green bond market,which indicates that there is a certain correlation between the green bond market and the traditional bond market.(2)From the perspective of the mean spillover between markets,only the mean spillover between the national debt market and the green bond market is two-way,while the mean spillover between the green bond market,the corporate bond market and the corporate bond market is one-way,indicating that the interaction between the green bond market and the traditional bond market is not sufficient.The green bond market has the strongest spillover effect on the national debt market,and the average spillover of the corporate bond market and the corporate bond market is weak.(3)From the perspective of inter-market volatility spillovers,the volatility spillovers of the green bond market and the three traditional bond markets are positive.The volatility spillover between the Treasury bond market and the green bond market was the largest,and this spillover effect was particularly obvious in the first half of 2018 and 2020.By contrast,the green bond market is less synergistic with the corporate bond market.The volatility spillover effect of green bond market and corporate bond market is relatively unstable.(4)From the perspective of extreme risk spillover between markets,?Co Va R between green bond market and traditional bond market is negative,indicating that the risk spillover between them is positive.Green bond market contributes more to the risk spillover of corporate bond market,while green bond market contributes less to the risk spillover of national debt and corporate bond market.The green bond market has a time-varying risk spillover effect on the traditional bond market.When the market is impacted by extreme events,the risk spillover effect between the green bond market and the traditional bond market is significantly enhanced.Based on the empirical analysis and combined with the actual conditions of our country,this paper puts forward feasible countermeasures for issuers,investors,policy makers and regulatory bodies in terms of policies: to promote issuers to become more perfect,to innovate green bond products,to improve the awareness of environmental information disclosure;Rational treatment of market fluctuations,can timely screen risks,avoid the "herd effect",the use of diversified investment to hedge risks;Strengthen the policy guidance to arouse the enthusiasm of the market,pay attention to the green investment education of investors;Step by step in line with international standards,formulate unified green project standards,and improve the quantitative management level of environmental information disclosure.