气候风险背景下绿色金融资产之间溢出效应影响的文献

In the context of escalating climate change, it is imperative to understand its multifaceted impacts on financial markets, as climate risks not only affect the low-order moments (mean and variance) but also the high-order moments (skew and kurtosis) of the energy market and the bond market. This study employs a quantile vector autoregressive framework, a combination of time-domain and frequency-domain analyses, and quantile-to-quantile regression to assess the dynamic spillover effects under varying market conditions. The results reveal that spillover effects are particularly pronounced during extreme events, both high positive shocks (above the 80th percentile) or high negative changes (below the 20th percentile). Furthermore, during periods of high climate risks, the dynamic interaction between the energy market and green bonds intensifies, strengthening their roles in the context of spillover effects and altering their respective positions. Our findings also exhibit that the coal markets and green bonds act as net recipients of spillovers, highlighting their potential as effective hedging instruments. Finally, climate risks contribute to an increasing spillover of risk in the new energy sector, with the long-term trend showing the most significant growth in spillover intensity.

… spillover effects across the returns of carbon emissions indices (CO 2 ), renewable and fossil energy benchmarks and sustainability-linked financial products such as green bonds and …

There is growing importance of green finance as a means to finance sustainable projects and reduce carbon emissions. Green bonds have emerged as an important financing tool in this context, and there is a need to understand how they are interconnected with other components of the green finance ecosystem, such as renewable energy and carbon markets. This study investigates the interconnectivity of green finance by analyzing the dynamic spillover effects among green bonds, renewable energy stocks, and carbon markets. Using daily data spanning from January 2010 to December 2020, vector autoregressive models and time-varying parameter models are applied to examine the transmission channels of shocks among these assets. The results reveal significant dynamic spillover effects between green bonds and renewable energy stocks, as well as between carbon markets and renewable energy stocks. Additionally, the findings suggest a complementary relationship between green bonds and carbon markets. This study provides insights into the interdependence of different green financial instruments and their role in promoting sustainable development. The outcomes of the research can guide policymakers, investors, and other stakeholders in making informed decisions regarding green finance.

… Extreme weather anomalies, energy crisis and environmental degradation have garnered … the spillovers among climate policy uncertainty (CPU), energy prices, green bond index, and …

… for transmitting and receiving risk spillovers across diverse markets, … It was also found that extreme risk spillovers were observed … Green assets are designed to combat climate risk by …

… This paper focuses on China's green stock market, green bond market, carbon trading … -Yilmaz spillover index, the research investigates the dynamic risk spillover effects in the green …

… Notably, this study underscores the critical importance of monitoring physical climate risk, … environmental policies. Furthermore, the analysis reveals an intriguing pattern where transition …

… Besides its physical risks, such as … of green bonds against green stocks can be exploited by investors in times of a turbulent market. Overall, our results indicate a heterogenous spillover …

Investigating the hedging effectiveness of green finance against climate risks is essential for optimizing investment strategies. This study employs the rolling‐window wavelet correlation method to capture the time‐varying and multiscale relationships among green bond (GB), green stock (GS), climate physical risk index (PRI), and transition risks index (TRI). The empirical results show that GB serves as a stable short‐term hedge against climate transition and physical risks, supported by their fixed‐income nature and alignment with climate‐oriented investment demand. In contrast, GS correlates negatively with TRI in the short run but shows strengthening hedging ability against physical risks after mid‐2018. Over longer horizons, GS demonstrates stronger hedging effectiveness against both risk types, with relatively consistent performance in hedging against physical risks. But GB shows weaker and less consistent hedging capacity, often correlating negatively at the fortnightly scale and partially turning positive monthly. Despite both assets remaining vulnerable to systemic financial disruptions, their complementary hedging profiles support strategic diversification within multihorizon portfolios to improve climate risk resilience. Against the backdrop of the escalating climate crisis, this paper offers strategic insights for investors, policymakers, and regulators to enhance climate risk resilience through green finance. JEL Classification: C32, Q54, G12

… green transition and intensifying international financial integration, understanding how risks propagate within and beyond green … state-dependent spillover structure linking green bonds, …

… Given the high-dimensional nature and the variation of financial risk contagion … spillover index model to analyze the risk spillover among major financial institutions within China’s green …

… green financing for firms, directing more capital into green projects and further promoting green … applications can be zero; thus, 1 is added before taking the logarithm for transformation. …

… events and the availability of scientific reports on climate change, investors may be increasingly inclined to invest in green assets as a … Contagion between investor sentiment and green …

… Other contributions have highlighted the role of climate-related events in amplifying … This study advances the green-asset contagion literature in an integrated way. First, it enables smart-…

This study proposes the multiscale R 2 decomposed connectedness approach to investigate the time-frequency contemporaneous and lagged risk spillover between ESG climate and …

PurposeThis research explores the spillovers and portfolio implications for green bonds and environmental, social and governance (ESG) assets in the context of the rapidly expanding trend in green finance investments and the need for a green recovery in the post-COVID-19 era.Design/methodology/approachThis study utilizes Diebold and Yilmaz’s (2014) spillover method and portfolio strategies (hedge ratio, optimal weights and hedging effectiveness) for the data starting from February 29, 2012, to March 14, 2022.FindingsThe study’s findings reveal that the lower volatility spillover is evidenced between the green bonds and ESG stocks during tranquil and turbulent periods (e.g. COVID-19 and Russia-Ukraine War). Furthermore, hedging costs are lower both in normal times and during economic slumps. Investing the bulk of the funds in green bonds makes it possible to achieve maximum hedging effectiveness between the S&P green bond (GB) and the S&P 500 ESG.Practical implicationsBoth investors and policymakers may use these findings to make wise investment and policy choices to achieve post-COVID environmental sustainability.Originality/valueUnlike previous research, this is the first to explore the interconnectedness among the major global and country-specific green bonds and ESG assets. The major findings of this study about the lower volatility spillovers and hedging costs between green bonds and ESG assets during the tranquil and turbulent periods may contribute to the post-COVID investment portfolio for environmental sustainability.

… Stress events driven by policy shifts, energy shocks, and dislocations in CEG markets raise … , calling for adaptive climate–financial coordination to mitigate systemic risk contagion. …

… exerts notable spillover effects on the green bond market, but remains primarily a “risk taker” with net spillover effects less than zero. Significant systemic risk spillovers occur during key …

PurposeThis study attempts to examine the time-varying volatility spillovers between environmentally sustainable assets and quantify the value-at-risk of the portfolios across various frequencies.Design/methodology/approachTo accomplish these objectives, this paper utilizes a connectedness index-based TVP-VAR model and applies the wavelet-based VaR ratio to daily data spanning from January 2018 to September 2023.FindingsThe empirical findings reveal a notable increase in the connectedness index between green stocks and green bonds during the COVID-19 crisis, signifying evidence of a contagion effect. The portfolio’s risk ratio also exhibited a sharp rise amid the pandemic, particularly over medium and long-term horizons, driven by increased spillover among green assets. Notably, our analysis indicates that green bonds influence the connectedness system between green stocks and the value-at-risk ratio, reducing volatility spillover and portfolio risk ratios across various investment horizons. These results highlight the role of green bonds as an effective diversification asset against the risks associated with green equities.Originality/valueThis research investigates the dynamic connectedness and value-at-risk ratio between eight green sectoral renewable energy and non-energy equities and green bonds. We put forward some portfolio implications for green investors with an environmental consciousness who desire to decarbonize their portfolios and mitigate environmental issues.

This paper employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model to analyze return and volatility spillovers, along with portfolio implications, across Green Bonds (GB), ESG stocks, the clean energy index (SP_CE), green cryptocurrencies (ADA, IOTA, XRP), Bitcoin (BTC), and gold. The study covers the COVID-19 pandemic and the Russia-Ukraine war. Results show a significant rise in total return and volatility connectedness during these crises, suggesting that global shocks heighten market interdependence. ESG stocks emerge as net transmitters of both return and volatility spillovers, while green cryptocurrencies (excluding ADA) are net receivers of volatility. Bitcoin exhibits asymmetric behavior—acting as a return transmitter but becoming a volatility receiver in crisis periods. Traditional assets such as gold, green bonds, and clean energy stocks remain net receivers in both return and volatility channels, underlining their defensive nature and potential role as hedging instruments during periods of turmoil.

… impacts of climate uncertainty and climate policy uncertainty on low-… stocks and green bonds, and we use a spillover index model based on the TVP-VAR model to assess the spillover …

Purpose- Governments and businesses worldwide are actively driving the growth of green finance (GF) markets as part of their goals towards a natural, sustainable, zero-carbon economy. Along with the turbulent events and developments in global markets, economic policy uncertainty (EPU) levels are constantly increasing, leading to significant spillover shocks on various economic and financial factors. Accordingly, this research aims to identify the dynamic connectivity between cable news-based EPU (TVEPU) and green asset returns, considering the period between 01.10.2014 and 30.09.2024. Methodology- This research employs the TVP-VAR connectedness method to examine the nexus between TVEPU and the returns of green assets. This approach enables the estimation of a generalized connectedness procedure using variance-covariance matrices and time-varying coefficients. Additionally, by applying Wold's representation theorem, it calculates generalized impulse response functions (GIRF) and variance decompositions (GFEVD) to predict the connectedness indices between the variables. Findings- First, we observe that the Fossil Fuel Reserves Free index has the highest influence on other indices while the TVEPU index has the lowest impact on other indices. Second, we find that shocks from international events and news significantly increase the sensitivity of the spillover effects between green assets and TVEPU. Third, we demostrate that the Green Bond (GB) market is a net shock receiver; simultaneously, the Fossil Fuel Reserves Free, Sustainability World and Environmental and Social Responsibility indices are net shock transmitters. Moreover, the findings demonstrate that the net spillover of TVEPU, Global Clean Energy, Carbon Emission Allowances (CEAs) and Renewable Energy and Clean Technology indices changes over time. Fourth, we determine that TVEPU has a meagre impact on the returns of green stocks (GSs) and GBs. Conclusion- This research provides strong evidence that news from wired news networks also impacts uncertainty shocks, emphasising that green asset investors should determine their portfolio diversification and hedging strategies by considering this factor. Keywords: TVEPU, green financial markets, sustainable assets, dynamic connectedness, TVP-VAR based connectedness technique. JEL Codes: D53, E60, Q56

… (TVP-VAR) model, we examine the connectedness between green bonds and major assets … The findings indicate that green bonds became significant net receivers of volatility from the …

… climate risk measures, transition risk and physical risk, to the returns and volatility of European brown and green energy stocks… allowances, and global green bonds. Using daily data, we …

… green loans in China surpassed 25 trillion yuan, and the outstanding amount 53 of green bonds … We analyze the daily logarithmic returns of green bonds, green stocks, and carbon 437 …

… ’s adoption of sovereign green bonds under the Next Generation … for geographical proximity and policy contagion, while VAR … policy frameworks to reduce carbon emissions and combat …

This paper combines the Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory-Value at Risk (GARCH-EVT-VaR) method in conjunction with the Time-Varying Parameter Diebold-Yilmaz (TVP-VAR-DY) model to investigate the contagion of extreme risks between fossil and green energy markets in China. Specifically, the study concentrates on coal, crude oil, and natural gas markets as representative sectors for fossil energy, while green bonds, investments, green power, and associated new energy markets are chosen as representatives for the green energy sector. Our analysis reveals that extreme events can rapidly propagate risks between fossil and green energy markets, particularly during significant shifts in the external environment. Notably, green energy markets exhibit greater susceptibility to severe risks compared to their fossil energy counterparts, indicative of their instability and immaturity. Moreover, the analysis highlights the green bond market's heightened sensitivity to extreme risks, with green investments playing a pivotal role in propagating such risks throughout the system. These insights underscore the intricate dynamics of risk contagion between fossil and green energy markets, emphasizing the need for comprehensive risk management strategies in both sectors.

… This contributes theoretically by linking climate-finance integration and digital-asset contagion within a unified system. Empirically, it provides time-varying evidence on systemic …

… of exploring effective green tools. In this paper, the spillover effects among climate policy uncertainty, green finance, the carbon price, clean energy and green technology innovation (GTI…

Abstract In this study, we first examine the dynamic dependence structure between green bonds (GBs) and several global and sectoral clean energy (CE) markets by using several time-invariant and time-varying copula approaches over the period from 5 July 2011 to 24 February 2020. We then apply conditional value-at-risk (CoVaR) and delta CoVaR to capture downside and upside risk spillovers from CE to GB, and vice versa. Our empirical analysis shows that there is positive time-varying average and tail dependence between GBs and CE stock markets. Moreover, extreme downward or upward movements in the CE stock market have a spillover effect on the GB market, and vice versa. Furthermore, the risk spillover between these markets is asymmetric. These results make an important contribution to policymakers and environmentally friendly investors with GB positions by adding unexpected tail losses. It is critical for the GB investors to invest their capital effectively in economic activities that are consistent with a low-carbon economy.

Green bonds (GB) are gaining a prominent role in sustainable development because of their ability to fund environment-friendly projects. This study aims to investigate if investors can benefit from the risk diversification properties of including GB with other assets, particularly within the context of the ongoing COVID-19 pandemic. To do so, we utilize a quantile-connectedness approach to examine a set of GB and traditional assets, i.e., commodities, stocks, and bonds, from 2008 to 2020. We find higher total time-varying risk spillovers during extreme high volatility periods than those with average and low volatility. For pairwise risk spillovers, GB offers more diversification opportunities when volatility is very low. Nevertheless, the diversification benefits increase during the COVID period. The strong bidirectional risk spillovers between GB and conventional bonds imply that GB can be considered a good alternative to traditional bonds while benefiting from their diversification potential, particularly with energy and agriculture. Our findings are useful for investors wishing to implement green diversification portfolio strategies in extreme volatility periods and act as an encouragement to policymakers to establish efficient policies to promote green finance.

… bond market couples with corporate and treasury bond … We also find that green bonds have negligible diversification … that green bonds are affected by substantial price spillovers from …

As climate change impacts energy consumption, investments in clean energy are now associated with increased levels of risk and uncertainty. Consequently, the management of risk for clean energy investors has garnered significant academic attention. This study was designed to explore the risk transfers among clean energy markets, how they respond to market volatility, and how exceptional events impact the risk spillover. This was performed by examining the risk spillover of and asymmetric connectedness between clean energy markets, green bonds, and other financial markets in China, in line with the connectedness framework and minimum spanning tree technique. The findings revealed that clean energy markets exhibit heterogeneity in terms of the direction and magnitude of net risk spillover, the types of hedging assets involved, and their response to market volatility. Exceptional events, such as the Russian–Ukrainian conflict and COVID-19 pandemic, have an impact on the spillover relationships. During stable market conditions, green bonds experience fewer spillovers from clean energy markets, whereas, in times of volatility, gold markets are subjected to fewer spillovers. In the time domain, the overall long-term spillover is stronger compared to the short and medium terms. In the frequency domain, there is a significant risk of low-frequency transmission. These findings hold practical implications for energy investors in portfolio construction and for policymakers in pursuing sustainability objectives.

Abstract This main contribution of this study is to examine the asymmetric connectedness among green bonds and commodities in time- and frequency-domain using the spillover frameworks of Diebold and Yilmaz (2014) and Barunik and Křehlik (2018). Findings reveal the evidence of asymmetric spillovers among the assets across time and different frequency cycles. While the spillover is stronger for commodities within the same class, gold and silver have the strongest connectedness with green bonds regardless of the periods. However, crude oil observes a strong connection with green bonds in the long-run. Additionally, the asymmetric spillover results show that positive returns spillover is stronger in the short-run, while negative returns spillover substantially holds in both periods but is more pronounced in the short-run. In all, this study unveils the importance of the green bonds market in serving as succor against risk in other commodity markets (except precious metals) at different time horizons. Also, under appropriate scaling up of the green bond market with viable environmental policies, it promises to attract more investors so that it continues to fulfill its goal of ensuring a green economy.

… weaker risk spillover effects … risk spillover characteristics between green bonds and energy markets during different periods, providing a new perspective for studying the risk spillover …

… the risk contagion characteristics between the green bonds (… uncertainty (EPU) and geopolitical risk (GPR). Given the … and capturing nonlinear risk dependencies across diverse markets, …

Sustainable development is a key issue of global concern, and countries around the world are striving to promote green development. From the perspective of financial asset allocation motivation, this paper explores the impact of financial asset allocation on green innovation based on the data of A-share listed non-financial companies from 2011 to 2021. First, there is an inverted U-shaped relationship between the proportion of financial asset allocation and the green innovation of physical enterprises, that is, as the proportion of financial asset allocation increases, the green innovation output of enterprises first increases and then decreases. After robustness testing, the conclusion still holds. Second, further testing of the intermediary mechanism shows that the moderate holding of short-term financial assets by real enterprises can increase the output of green innovation by alleviating financing constraints, which is manifested as the "reservoir" effect. The "crowding out" effect plays a leading role when overallocation of financial assets reduces liquidity supply and capital expenditure, which in turn reduces green innovation output. Third, in the test of financial asset allocation preference, it is found that the short-term financial assets held by enterprises mainly play a "reservoir" effect, that is, they tend to be "preventive" motives. Holding long-term financial assets mainly exerts a "crowding out" effect, that is, tends to "seek profits" motives. Finally, there are differences in the impact of financial asset allocation on green innovation output among enterprises with different property rights, different monetary policies and different social responsibilities.

… research to investigate the impact of climate risks on bond markets, this study examines the connectedness and spillovers of climate risk with corporate green bonds in Greece—a topic …

… investigates the spillover dynamics and directionality between oil prices (OP) and green bonds (GB) … The results confirm the presence of significant spillovers between the two markets, …

Abstract The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time‐varying optimal copula and extreme risk spillover analysis of dynamic conditional Value‐at‐Risk. We report significant symmetric (asymmetric) tail‐dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe‐haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID‐19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.

The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green bonds as any asset are subject to transition climate risk, namely, regulatory risk. This paper investigates the impact of unexpected political events on the risk and returns of green bonds and their correlation with other assets. We apply a traditional and regression-based event study and find that events related to climate change policy impact green bonds indices. Green bonds indices anticipated the 2015 Paris Agreement on climate change as a favorable event, whereas the 2016 US Presidential Election had a significant negative impact. The negative impact of the US withdrawal from the Paris agreement is more prominent for municipal but not corporate green bonds. All three events also have a similar effect on green bonds performance in the long term. The results imply that, despite the benefits of issuing green bonds, there are substantial risks that are difficult to hedge. This additional risk to green bonds might cause a time-varying premium for green bonds found in previous literature.