传统债券市场与绿色债券市场收益率的波动性研究——基于GARCH族模型的实证分析
Volatility Research of Yields in Traditional Bond Market and Green Bond Market—An Empirical Analysis Based on GARCH Family Model

本文以绿色债券和传统债券市场收益率的波动性为研究主题，首先通过构建GARCH模型来度量债券收益率的波动性，其次通过DCC-GARCH模型来研究分析传统债券市场收益率波动性与绿色债券市场收益率波动性之间的联动关系，结果发现两者之间存在正向相关关系。政府等决策部门在制定政策时应关注传统债券市场与绿色债券市场间的联动关系，以促进市场的稳定和健康发展。推动绿色债券市场的信息披露透明化，有助于投资者更好地理解两类市场的风险和收益波动性。投资者应密切关注影响两类市场的宏观经济和市场因素，以便在波动性增加时迅速调整投资组合。
This paper takes the volatility of green bond and traditional bond market as the research theme. Firstly, GARCH model is constructed to measure the volatility of bond yield. Secondly, DCC-GARCH model is used to study and analyze the linkage relationship between the volatility of traditional bond market and the volatility of green bond market. The results show that there is a positive correlation between the two. The government and other decision-making departments should pay attention to the linkage between the traditional bond market and the green bond market when formulating policies, so as to promote the stable and healthy development of the market. Promoting transparency in the green bond market will help investors better understand the risk and return volatility of both markets. Investors should pay close attention to macroeconomic and market factors affecting both types of markets so that they can quickly adjust their portfolios when volatility increases.