Volume 2,Issue 8
中国绿色金融市场风险溢出的时频特征
—— 基于多矩连通性网络
本文基于2017年7月3日至2026年3月18日中国绿色债券与绿色股票市场9个代表性指数的日度数据，采用ACDNIG模型提取条件波动率、偏度和峰度，在TVP-VAR 框架下构建收益率、波动率、偏度和峰度四层连通性网络，并结合多矩投影与频域分解考察风险传导的结构、动态和期限差异。结果表明：（1）收益率、波动率、偏度和峰度层的静态总连通性指数依次为70.67%、67.35%、62.38% 和55.58%，综合投影层为64.61%。总体连通性随风险矩阶提高而下降，但偏度和峰度层在重大事件附近呈现更集中的跃升。（2）各风险层均表现出明显的资产类别集聚，绿色债券和绿色股票内部连通性明显高于两类市场之间的交叉连通性。（3）风险节点具有维度差异和时变性。国证ESG300指数在收益率、波动率、偏度及综合投影层中是较稳定的净风险输出方，上证绿色公司债指数总体为净风险接收方；峰度层的主要输出节点转向沪深300ESG 债券指数。（4）收益率溢出以短期成分为主，波动率、偏度、峰度及综合风险主要由长期成分驱动。研究表明，中国绿色金融风险监测应同时识别风险维度、资产类别、关键节点和传导期限。
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