Asymmetric Effects of Renewable Energy Markets on China’s Green Financial Markets: A Perspective of Time and Frequency Dynamic Connectedness

Abstract

This study investigates dynamic risk spillover effects between renewable energy markets and Chinese green financial markets from a time-frequency perspective by utilizing weekly data from two types of markets with a span from January 2010 to August 2022. The results show that the total spillover and net spillover effects vary widely across time. Short-run spillover is more dominant than long-run spillover. In most cases, green finance markets play the role of risk receivers in the system, while renewable energy markets are the main risk transmitters in the short run and the main risk spillover contributors in the long run. Finally, we determine that the hedging effect of green finance assets in the renewable energy market may decrease after the COVID-19 pandemic.