ESTIMATING FINANCIAL RISK TRANSMISSION EFFECT IN NEW ENERGY VEHICLE SUPPLY CHAINS BASED ON GARCH– TIME-VARYING COPULA–COVAR MODEL UNDER THE DUAL CARBON TARGET IN CHINA

Abstract The development of new energy vehicles is an important path to promote the realization of the dual carbon target. However, the complex and changeable external macro environment, large capital investment required in the early stage of new energy vehicle projects, and unstable returns resulting in high financial risks for new energy vehicle enterprises. Furthermore, factors such as information asymmetry, moral hazard and the uncertainty of the external macro environment make the dynamic characteristics of financial risk transmission between enterprises in the new energy vehicle supply chain more prominent. Existing studies on risk transmission have mainly focuses on theoretical exploration and qualitative research, while the quantitative research is lacking. This study empirically analyzed the financial risk transmission effect between the new energy vehicles chain enterprises based on the GARCH–time-varying copula–CoVaR model. It selected 8 upstream enterprises, 2 midstream enterprises and 8 downstream enterprises; constructed 36 financial risk transmission chains, and selected the stock returns of sample companies from 2017 to 2021 as research data. The results indicated that: (1) the financial risk between upstream and downstream enterprises in the supply chain of new energy vehicles had a bidirectional conduction effect, and the conduction effect was heterogeneous; (2) compared with midstream and downstream enterprises, financial risk was more conductive between upstream and midstream enterprises; and (3) the financial risk transmission effect between enterprises had time-varying characteristics, which affected by the external macro environment and the degree of cooperation between enterprises.