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<p>This paper investigates the dynamic risk spillovers among China's green bonds, new energy vehicles, and clean energy markets against the backdrop of global carbon neutrality goals. By applying TVP-VAR-DY and QVAR-DY methodologies, we analyze time-varying extreme risk spillover effects and their asymmetric properties. The results reveal a three-stage evolution of total spillovers, intricately linked to the economic cycle, and demonstrate significant bidirectional spillovers between green finance and energy transition markets. Growth in new energy vehicle sales stimulates the green bond market, which in turn provides financial backing for the industry's further expansion. Additionally, investor sentiment serves as a key moderating variable, exacerbating spillovers during market downturns while attenuating them during bullish periods. Crucially, we identify three fundamental transmission mechanisms through which extreme events propagate: (1) policy interventions and regulatory uncertainty, (2) shifts in market expectations and investor psychology, and (3) disruptions to physical and financial supply chains. The interplay of these channels during crises leads to asymmetric spillovers that vary significantly across low-, medium-, and high-risk regimes, reflecting complex interactions between fundamental and behavioral factors.</p>

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Time-varying extreme risk spillovers and asymmetric effects in green bonds, new energy vehicles, and clean energy markets: A TVP-VAR and QVAR network approach

  • 期刊论文

  • 发表日期：

    2026年2月16日

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  • Chunyan Jiang,
  • Yayun Wang,
  • Wanqi Li,
  • Runze Ding

摘要

This paper investigates the dynamic risk spillovers among China's green bonds, new energy vehicles, and clean energy markets against the backdrop of global carbon neutrality goals. By applying TVP-VAR-DY and QVAR-DY methodologies, we analyze time-varying extreme risk spillover effects and their asymmetric properties. The results reveal a three-stage evolution of total spillovers, intricately linked to the economic cycle, and demonstrate significant bidirectional spillovers between green finance and energy transition markets. Growth in new energy vehicle sales stimulates the green bond market, which in turn provides financial backing for the industry's further expansion. Additionally, investor sentiment serves as a key moderating variable, exacerbating spillovers during market downturns while attenuating them during bullish periods. Crucially, we identify three fundamental transmission mechanisms through which extreme events propagate: (1) policy interventions and regulatory uncertainty, (2) shifts in market expectations and investor psychology, and (3) disruptions to physical and financial supply chains. The interplay of these channels during crises leads to asymmetric spillovers that vary significantly across low-, medium-, and high-risk regimes, reflecting complex interactions between fundamental and behavioral factors.