The complexity of connection between green bonds and carbon markets: New evidence from China

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-17 DOI:10.1016/j.frl.2025.107790

Leilei Yan, Wei Han

引用次数: 0

Abstract

This study proposes a frequency domain quantile‒qua ntile connectedness approach that can be used to explore the complex linkages between the Chinese carbon market (CM) and three types of green bond markets (GBMs). Empirical results indicate extreme connectedness between the CM and GBM and that the short-term effect is stronger than the long-term effect. In addition, the total connectedness between the CM and GBM at the inversely related quantiles is usually greater than the total connectedness at the directly related quantiles, with exceptions in the long-term frequency domain. Third, in the short term, shocks are transmitted mainly from the GBM to the CM, but extreme negative volatility in CM prices may reverse the direction of this transmission. Finally, in the long term, shocks are transmitted mainly from the CM to the GBM, but extreme price volatility in the GBM can alter the transmission path.

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绿色债券与碳市场之间联系的复杂性：来自中国的新证据

本研究提出了一种频域分位数-四分位数连通性方法，可用于探索中国碳市场（CM）与三种绿色债券市场（GBMs）之间的复杂联系。实证结果表明，企业资本管理与企业资本管理具有极强的关联性，且短期效应强于长期效应。此外，CM与GBM在负相关分位数处的总连通性通常大于直接相关分位数处的总连通性，但长期频域例外。第三，在短期内，冲击主要从GBM传导到CM，但CM价格的极端负波动可能会逆转这种传导的方向。最后，从长期来看，冲击主要从CM传导到GBM，但GBM的极端价格波动会改变传导路径。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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