| 摘要: |
| 防范气候政策不确定性对能源市场和绿色债券市场的风险溢出是维护金融稳定的重要环节。基于日度高频数据，首先利用BSADF方法测度能源市场（传统能源市场与清洁能源市场）和绿色债券市场的价格泡沫。然后，运用TVP-VAR-DY模型分析能源市场泡沫与绿色债券市场泡沫之间的溢出效应，并将总溢出效应进行分解。其次，通过DCC-GARCH模型和BVAR模型分析气候政策不确定性对能源市场泡沫和绿色债券市场泡沫及其市场之间泡沫溢出效应的影响。得出以下主要结论：第一，能源市场和绿色债券市场泡沫传染的总溢出效应具有时变效应，在不同时点分别由不同的因素驱动；第二，气候政策不确定性会加剧能源市场和绿色债券市场之间的泡沫传染；第三，气候政策不确定性主要通过加剧清洁能源市场泡沫溢出导致能源市场与绿色债券市场之间泡沫总溢出效应的上升。最后，从政策制定、市场监管和投资者等角度为防范气候政策不确定性的冲击和预防能源市场与绿色债券市场泡沫传染提供有益启示。 |
| 关键词: 关键词：气候政策不确定性；能源泡沫；绿色债券泡沫；风险溢出 |
| DOI： |
| 分类号:F831.5 |
| 基金项目:基金项目：国家社会科学基金项目“房价泡沫空间溢出对区域金融风险的影响机制和防范研究”（19BJY244）；广东省基础与应用基础研究基金“粤港澳大湾区创新要素流动对科技创新效率的影响机制研究”（2023A1515012445）。 |
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| Climate Policy Uncertainty,Bubble Contagion in Energy Markets and the Green Bond Market |
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LUO Sheng-tao,GUO Wen-wei
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(School of Finance,Guangdong University of Finance & Economics)
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| Abstract: |
| Mitigating the risk spillover from climate policy uncertainty to energy markets and green bond markets is a crucial aspect of maintaining financial stability.Based on daily high-frequency data,we first employ the BSADF method to measure price bubbles in both energy markets (traditional and clean energy markets) and the green bond market.Subsequently,we analyze the spillover effects between bubbles in energy markets and the green bond market using the TVP-VAR-DY model,and decompose the total spillover effects.Furthermore,we utilize the DCC-GARCH model and BVAR model to investigate the impact of climate policy uncertainty on bubbles in these markets and the spillover effects between them.Finally,the empirical findings are as follows:Firstly,the total spillover effect of bubble contagion between energy markets and the green bond market exhibits time-varying characteristics,driven by different factors at various points in time.Secondly,climate policy uncertainty exacerbates bubble contagion between energy markets and the green bond market.Thirdly,climate policy uncertainty primarily intensifies the spillover effect of bubbles in clean energy markets,leading to an increase in the total spillover effect between energy markets and the green bond market.Based on these empirical conclusions,valuable insights are provided for policymakers,market regulators,and investors to guard against the impacts of climate policy uncertainty and prevent bubble contagion in energy markets and the green bond market. |
| Key words: Key words：Climate Policy Uncertainty,Energy Bubble,Green Bond Bubble,Risk Spillover |
