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A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market

Chunyan Jiang Orcid Logo, Wanqi Li, Yayun Wang, Runze Ding Orcid Logo

International Review of Economics & Finance, Start page: 104891

Swansea University Author: Runze Ding Orcid Logo

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DOI (Published version): 10.1016/j.iref.2026.104891

Abstract

This study focuses on the distinctive characteristics of the Chinese market environment and constructs a composite analytical framework integrating EGARCH, wavelet coherence, QVAR-DY. The unique advantage of this framework lies in its ability to simultaneously deconstruct the risk transmission pathw...

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Published in: International Review of Economics & Finance
ISSN: 1059-0560 1873-8036
Published: Elsevier BV 2026
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URI: https://cronfa.swan.ac.uk/Record/cronfa71219
first_indexed 2026-01-08T15:45:33Z
last_indexed 2026-01-09T05:32:20Z
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spelling 2026-01-08T15:45:31.4549521 v2 71219 2026-01-08 A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market e91044d4c2380a85b8861c7d0179e124 0000-0003-2284-5736 Runze Ding Runze Ding true false 2026-01-08 CACS This study focuses on the distinctive characteristics of the Chinese market environment and constructs a composite analytical framework integrating EGARCH, wavelet coherence, QVAR-DY. The unique advantage of this framework lies in its ability to simultaneously deconstruct the risk transmission pathways between green bonds and commodities across multiple dimensions, including "time domain-frequency domain," "mean-tail," and "static-dynamic." Systematic examination reveals significant time-frequency heterogeneity and state dependence in the risk linkage between the two markets: in the short term, it manifests as synchronous responses to high-frequency information; in the medium term, it is driven by economic events and policy factors; and in the long term, it is associated with macroeconomic cycles and the trend of green transformation. During extreme downside periods, green bonds predominantly act as net risk recipients, exhibiting pronounced sensitivity to shocks from energy and non-ferrous metals; under normal conditions, they demonstrate greater independence; whereas in extreme upside periods, risk inflows intensify, and from a long-term perspective, green bonds may transition into net risk transmitters, underscoring the reshaping effect of green transformation on demand expectations for commodities. The findings provide multidimensional evidence for understanding the risk transmission mechanisms between green finance and the real economy, offering valuable insights for risk management and policy formulation. Journal Article International Review of Economics & Finance 0 104891 Elsevier BV 1059-0560 1873-8036 Green Bonds; Commodity Markets; Risk Spillover Effects; Complex Network Analysis; Tail Risk Contagion 4 1 2026 2026-01-04 10.1016/j.iref.2026.104891 COLLEGE NANME Culture and Communications School COLLEGE CODE CACS Swansea University Another institution paid the OA fee Shenzhen Philosophy and Social Sciences Planning Project: A Dual-Pathway Study on the “Squeeze-Relief” Effects of Key Minerals on Innovation Efficiency in Shenzhen's Power Battery Enterprises Under Politicized Pricing (No. SZ2025C023); Shenzhen Institute of Information Technology. Research on the Influence Mechanism of Monetary Policy Effectiveness under the Intersection of Green Innovation Drive and Financialization. (No. SZIIT2024SK010). 2026-01-08T15:45:31.4549521 2026-01-08T15:40:46.6901422 Faculty of Humanities and Social Sciences School of Culture and Communication - Media, Communications, Journalism and PR Chunyan Jiang 0000-0001-6172-6604 1 Wanqi Li 2 Yayun Wang 3 Runze Ding 0000-0003-2284-5736 4
title A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
spellingShingle A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
Runze Ding
title_short A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
title_full A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
title_fullStr A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
title_full_unstemmed A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
title_sort A Complex Network Analysis of Risk Spillover and Linkage Effects between Green Bonds and Commodities under the Characteristics of the Chinese Market
author_id_str_mv e91044d4c2380a85b8861c7d0179e124
author_id_fullname_str_mv e91044d4c2380a85b8861c7d0179e124_***_Runze Ding
author Runze Ding
author2 Chunyan Jiang
Wanqi Li
Yayun Wang
Runze Ding
format Journal article
container_title International Review of Economics & Finance
container_volume 0
container_start_page 104891
publishDate 2026
institution Swansea University
issn 1059-0560
1873-8036
doi_str_mv 10.1016/j.iref.2026.104891
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Culture and Communication - Media, Communications, Journalism and PR{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Culture and Communication - Media, Communications, Journalism and PR
document_store_str 0
active_str 0
description This study focuses on the distinctive characteristics of the Chinese market environment and constructs a composite analytical framework integrating EGARCH, wavelet coherence, QVAR-DY. The unique advantage of this framework lies in its ability to simultaneously deconstruct the risk transmission pathways between green bonds and commodities across multiple dimensions, including "time domain-frequency domain," "mean-tail," and "static-dynamic." Systematic examination reveals significant time-frequency heterogeneity and state dependence in the risk linkage between the two markets: in the short term, it manifests as synchronous responses to high-frequency information; in the medium term, it is driven by economic events and policy factors; and in the long term, it is associated with macroeconomic cycles and the trend of green transformation. During extreme downside periods, green bonds predominantly act as net risk recipients, exhibiting pronounced sensitivity to shocks from energy and non-ferrous metals; under normal conditions, they demonstrate greater independence; whereas in extreme upside periods, risk inflows intensify, and from a long-term perspective, green bonds may transition into net risk transmitters, underscoring the reshaping effect of green transformation on demand expectations for commodities. The findings provide multidimensional evidence for understanding the risk transmission mechanisms between green finance and the real economy, offering valuable insights for risk management and policy formulation.
published_date 2026-01-04T05:33:32Z
_version_ 1856805810852593664
score 11.095924

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