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Extreme risk transmission mechanism between oil, green bonds and new energy vehicles

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  • Zhongzheng, Wang

Abstract

This paper combines a time-varying spillover index based on a time-varying vector auto-regressive (TVP-VAR) model with quantile regression to investigate the mechanism of extreme risk contagion among oil, green bonds and new energy vehicles under different market conditions. The empirical analysis in this paper show that total spillover index between oil, green bonds and new energy vehicles is about 37% in the mean and median situations, and about 80% at extreme quantile conditions. The quantile-based connectedness model outperforms the mean-based connectedness model. We are also able to conclude that in the extreme downside market scenario, except for WTI, rest of the market was a net transmitter of systemic shocks; in the extreme upside market scenario, except for WTI and green bonds, rest of the market was a net transmitter of systemic shocks. The spillovers among green bonds, new energy vehicles and oil are asymmetrical. Market regulators should make timely regulation and adjustments in extreme market conditions to prevent systemic risk.

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  • Zhongzheng, Wang, 2023. "Extreme risk transmission mechanism between oil, green bonds and new energy vehicles," Innovation and Green Development, Elsevier, vol. 2(3).
    • Handle: RePEc:eee:ingrde:v:2:y:2023:i:3:s2949753123000322
    DOI: 10.1016/j.igd.2023.100064
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