Study on time-varying risk spillover effect of financial stress on new energy market
LYU Jingye
LI Na
LI Chong
SUN Hongxiang
Abstract：This paper employs the Conditional Quantile Spillover Index(CQSI)method,using China's renewable energy market and various financial sub-market stress indices as research variables,to construct a Quantile Vector Autoregressive(QVAR)model of the renewable energy-financial system.This model overcomes the limitations of traditional research methods in describing extreme events and empirically analyzes the time-varying risk spillover effects between the renewable energy-financial system.The research findings are as follows:① There is a significant risk spillover effect within the renewable energy-financial system,with the renewable energy market serving as the primary source of risk,exhibiting dual characteristics of industrial policy guidance and market demand driving.The capital market and foreign exchange market are the primary recipients of this risk.② The risk spillover in China's renewable energy-financial system exhibits significant tail spillover characteristics and asymmetry.Specifically,the renewable energy market is more sensitive to risk fluctuations under extreme downward market stress conditions.③Various uncertainty factors,such as supply-demand imbalances,policy changes,and changes in international and domestic situations,are the main drivers of fluctuations in China's renewable energy-financial system.Among these,fluctuations in the renewable energy market primarily stem from the chain reactions triggered by adjustments to energy policies.
Keywords：renewable energy marketfinancial stressquantile vector autoregression(QVAR)extreme market conditionstime-varying risk spillovers
Publication Date：2025-03-28
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：11( 36-46 )