Linkage And Risk Measurement Analysis Of Green Financial Market Based On Vine Copula

With the wave of reform and opening up,the domestic economy grows rapidly.However,the prosperity behind it is the result of environmental destruction and waste of resources.The report of the 20th National Congress of the Communist Party of China put forward "improving the fiscal,tax,financial,investment,price policy and standard system supporting green development",revealing that the development of green finance is an inevitable requirement to promote the steady progress of green development,and the green financial market plays a key role in the healthy development of green finance.However,with the rapid development of my country’s green financial market,there are many potential risks among various green financial markets.No market can exist independently of other markets.The rapid development of green finance will inevitably increase the resource allocation in green and low-carbon industries,and will also make the linkage between green finance markets closely.Due to the increasingly interconnected relationship between green financial markets,the overall healthy development of green finance is more constrained by the stability of the green financial markets.Therefore,exploration of the linkage between green financial markets and the internal mechanism of risk contagion,and measuring the risk level and spillover effect of green financial markets can effectively resolve green financial market risks,and reduce the risk contagion between green financial markets.Provide theoretical reference value for risk management departments and policymakers,and reduce the risk of investors in financial practice activities.This paper selects the index data of four types of green financial markets:green bond market,green energy market,environmental protection industry market,and carbon emission market as the research object.Firstly,the partial distribution is selected as the optimal residual distribution,the ARMA-GARCH model is constructed to obtain the standardized residual sequence,and the optimal D-Vine Copula is selected as the Vine Copula model of this paper;Secondly,the static linkage analysis and dynamic linkage analysis of the green financial market are carried out using the D-Vine Copula model;Finally,calculate the VaR(value at risk)of the green financial market and use the rolling window method to back-test.By the way,construct the dynamic Vine Copula method and compare the other three Copula methods to calculate the CoVaR(risk spillover effect).It is found that the dynamic Vine Copula method has a more obvious volatility effect and higher sensitivity to risk.Based on this method,study the risk spillover effect of green bond market,green energy market,and carbon emission right market on the environmental protection industry market.The empirical results show that:in terms of linkage,the results of dynamic D-Vine structure and static D-Vine structure are similar.The higher the tree level,the weaker the Kendall-τ correlation and tail correlation.Kendall-τ correlation coefficient and tail correlation coefficient of dynamic D-Vine structure change similarly with time.Extreme events will have a greater impact on the green financial market at different time points.For example,there will be a greater change in the two correlation coefficients at the beginning of 2020,which may be due to the impact of emergencies such as COVID-19 on the green financial industry at the beginning of 2020,resulting in greater fluctuations in the green financial market;In terms of risk level,the extreme risk and risk fluctuation of the green bond market are the lowest,showing the characteristics of low risk and low yield,but the extreme risk value and risk fluctuation of the carbon emission rights market are the highest,and there are many extreme values;In terms of the risk spillover effect,in the same period,the CoVaR fluctuation effect calculated by the dynamic high-dimensional D-Vine Copula method is more obvious and more sensitive to risk.The risk spillover effect of the green bond market,green energy market and carbon emission rights market on the environmental protection industry market is significantly asymmetric.The upside risk spillover intensity of these three types of green financial markets on the environmental protection industry market is greater than the downside risk spillover intensity,However,compared with the carbon emission market,the green energy market and the green bond market have a stronger positive risk spillover effect on the environmental protection industry market.