Search Results (5)

This study employs the TVP-VAR-DY model to examine the risk spillover effects and dynamic interactions between traditional energy markets and green financial markets across both time and frequency domains. Furthermore, it evaluates the influence of climate policy uncertainty on these risk spillovers. The findings reveal substantial risk spillover effects between traditional energy markets and green financial markets. In the time domain, the total spillover effects exhibit distinct time-varying characteristics, with particularly pronounced changes under the influence of policy shocks. In the frequency domain, risk spillovers are significantly higher in the short term compared to the medium and long term. Additionally, climate policy uncertainty emerges as key driver of intensified risk spillovers between markets, with its influence initially increasing and then gradually diminishing over time. This study not only provides theoretical support for optimizing climate policies but also offers empirical evidence for prevention and mitigation of risk contagion between energy and green financial markets. Full article

This paper employs a Time-Varying Parameter Vector Autoregression Directional–Spillover (TVP-VAR-DY) model to investigate the dynamic spillover effects among China’s energy, real estate, and stock markets from 2013 to 2023, with a focus on the impact of extreme events. The findings show that the total conditional spillover index (TCI) typically remains below 40% in the absence of extreme events, but significantly increases during such events, reaching 51.09% during the 2015 stock market crisis and nearing 60% during the COVID-19 pandemic in 2020. Specifically, the oil and gas market exhibited a net spillover index of 4.61%, emerging as a major source of risk transmission. In contrast, the real estate market, which had a net spillover index of −9.38%, became a net risk absorber. The net spillover index indicates that the risk transmission role of different markets towards other markets is dynamically changing over time and is closely related to significant global or domestic economic events. These results indicate that extreme events not only directly impact specific markets but also rapidly propagate risks through complex inter-market linkages, exacerbating systemic risks. Therefore, it is recommended to enhance market monitoring, improve transparency, and optimize risk management strategies to cope with uncertainties in the global economy and financial markets. Full article

This study employs the TVP-VAR-BK-DY spillover index model to investigate the risk spillover effects between China’s carbon emission trading system (ETS) pilots and A-share listed emission-regulated enterprises. The findings reveal that, due to the nascent stage of China’s carbon market, the overall risk spillover level within the “carbon-stock” system remains low; however, dynamic risk spillovers have shown an upward trend driven by the advancement of ETS pilots. In particular, during compliance periods, enterprises that exceed their emission limits must purchase sufficient allowances on the carbon trading market to avoid high penalties for non-compliance. This creates substantial demand, which drives a rapid increase in the spot prices of carbon allowances, triggering intense short-term price fluctuations and risk spillovers—a pronounced “compliance-driven trading” effect. Frequency domain analysis indicates that long-term shocks have a significantly greater impact on the market than short-term oscillations, reflecting moderate information processing efficiency within the “carbon-stock” system. Directional spillover analysis shows that A-share enterprises initially absorb risks from the carbon market in the short term, but over the long term, they transmit part of these risks back to the carbon market, forming a significant bidirectional risk transmission relationship. Furthermore, heterogeneity analysis reveals marked differences in risk spillover contributions among firms associated with different ETS pilots, as well as between enterprises with polluting behaviors and those with high ESG scores, with the latter contributing considerably higher spillovers to the overall carbon market. These findings offer nuanced insights into the dynamic, structural, and firm-level characteristics of risk spillovers, providing valuable guidance for policymakers and investors to enhance market stability and optimize investment strategies. Full article

Lithium, a crucial raw material for new energy vehicles, is experiencing significant market price fluctuations due to escalating geopolitical conflicts, periodic mismatches in supply and demand, and increased attention to lithium resources from countries around the world. These factors may adversely affect the development of the new energy vehicle industry. This paper adopts the TVP-VAR-DY model, which measures dynamic spillover effects by allowing for variance changes through the estimation of a stochastic Kalman filter, thereby measuring risk spillover among upstream and downstream firms in the lithium industry chain. We selected 16 listed companies and six regional financial markets as the research sample, with the sample period from 4 July 2018, to 30 June 2023. The main conclusions are as follows: Between 2018 and 2020, the overall risk spillover in the lithium industry chain demonstrated a declining trend, though it experienced a sudden surge in 2020 as a result of the COVID-19 pandemic. This increase was followed by a gradual decline as the global economy improved and market stability was restored, leading to a reduction in risk aversion. Regarding the reception of risk spillovers, upstream firms exhibited a generally consistent level of directional risk spillovers, whereas downstream firms experienced more significant fluctuations. Chinese firms exhibited a higher level of received risk spillovers compared to their international counterparts, with less variation in these spillovers. From the perspective of risk spillover effects, significant variations were observed between firms in both the upstream and downstream markets. Chinese firms exhibited a higher level of risk inflow than international firms, with more pronounced changes in risk spillovers. Upstream enterprises should enhance their market competitiveness to mitigate the adverse effects of economic uncertainty. Downstream enterprises can alleviate the rise in raw material costs resulting from market price fluctuations through strategic cooperation. Additionally, the government should increase the market supply of resources, which will contribute to the establishment of a more robust lithium industry chain system. Full article

Amidst escalating global policy uncertainties and the painful transformation phase of the Chinese economy, studying the time-varying characteristics of risk spillover among the real economy, real estate market, and financial system holds substantial practical relevance for preventing and resolving significant systemic risks. This paper employs the TVP-VAR-DY model, selects indices from the real sectors to construct a risk spillover index for the real economy, and incorporates indices from the real estate and financial sectors to develop a trivariate SV-TVP-VAR model for empirically analyzing the time-varying nature of risk spillover relationships among these variables. This study reveals that risk spillover among different sectors of the real economy exhibits asymmetry and volatility, with the industrial sector experiencing the highest degree of risk spillover. The prosperity of the real estate market consistently aligns with that of the financial system; however, shocks during periods of risk accumulation in the real estate market significantly amplify risks in the real economy. The financial system serves the real economy, which suffers lesser impacts. Nonetheless, post-2008, the financial system’s support for the real estate market has gradually diminished. Crises exacerbate the extent of risk spillover, but the causative factors and socio-economic context create heterogeneity in fluctuations. Based on these findings, in response to the current real estate shock, the Chinese government should discuss the real economy, the real estate industry, and the financial system within the same research framework. Policies should primarily focus on fiscal measures to promote the recovery of the real economy more rapidly. Additionally, by allowing local governments to implement tailored policies based on local conditions, potential homebuying demand has been effectively stimulated. Full article