In this study, we first examine the tail-dependency of green bonds in the U.S. and China using the time-varying \(\Delta CoVaR\) approach over the period from January 3, 2017, to November 15, 2024. We then employ the \(R^2\) decomposed connectedness model to capture the dynamic spillovers mechanism. The results indicate that the spillovers are time-varying and event-driven, with China as a net transmitter and the U.S. as a net receiver. Lagged dynamics predominantly drive the net transmission of risks across the network, while contemporaneous measures strongly influence overall connectedness. These findings provide insights for risk management and policymaking.
