School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029, China.
School of Economics and Management, Beihang University, Beijing, 100191, China; Laboratory for Low-carbon Intelligent Governance (LLIG), Beihang University, Beijing, 100191, China.
J Environ Manage. 2023 Dec 1;347:119008. doi: 10.1016/j.jenvman.2023.119008. Epub 2023 Sep 23.
Green finance is an essential instrument for improving the environment and addressing climate change. This study investigates the dynamic spillovers among green finance markets using time-varying parameter vector autoregression (TVP-VAR) spillover indices, and further investigates the impact of climate policy uncertainty and investor sentiment on spillovers based on the generalised autoregressive conditional heteroscedasticity mixed data sampling (GARCH-MIDAS) model. The results indicate that: (i) environmental, social and governance (ESG), clean energy and water markets are information transmitters in the green finance system, whereas green building, green transportation, green bond and carbon markets are mainly information receivers; (ii) green stock markets including clean energy, non-energy and ESG markets transmit and receive greater information in the green finance system, while green bond and carbon markets do less; (iii) the green bond market is more interconnected with other green finance markets after the COVID-19 outbreak; (iv) investor sentiment contributes more to the net total directional spillovers of green resource markets (water and clean energy), while climate policy uncertainty contributes more to total spillovers and the net total directional spillovers of other green finance markets. These findings offer invaluable guidance for both policymakers and environmental investors.
绿色金融是改善环境和应对气候变化的重要手段。本研究采用时变参数向量自回归（TVP-VAR）溢出指数，考察了绿色金融市场之间的动态溢出效应，并基于广义自回归条件异方差混合数据抽样（GARCH-MIDAS）模型，进一步考察了气候政策不确定性和投资者情绪对溢出效应的影响。结果表明：（i）环境、社会和治理（ESG）、清洁能源和水市场是绿色金融体系中的信息传递者，而绿色建筑、绿色交通、绿色债券和碳市场则主要是信息接收者；（ii）绿色股票市场（包括清洁能源、非能源和 ESG 市场）在绿色金融体系中传递和接收更多的信息，而绿色债券和碳市场则较少；（iii）新冠疫情爆发后，绿色债券市场与其他绿色金融市场的联系更加紧密；（iv）投资者情绪对绿色资源市场（水和清洁能源）的总净方向溢出贡献更大，而气候政策不确定性对其他绿色金融市场的总溢出和总净方向溢出贡献更大。这些发现为政策制定者和环境投资者提供了宝贵的指导。
