Estimating the financial risk transmission effect between new energy vehicle enterprises supply chain based on GARCH–time-varying copula–CoVaR model under the dual carbon target

Estimating the financial risk transmission effect between new energy vehicle enterprises supply chain based on GARCH–time-varying copula–CoVaR model under the dual carbon target | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Article Estimating the financial risk transmission effect between new energy vehicle enterprises supply chain based on GARCH–time-varying copula–CoVaR model under the dual carbon target Yanqiu Cao, Yijie Bian This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-4383801/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version 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. Earth and environmental sciences/Environmental sciences Earth and environmental sciences/Environmental social sciences Physical sciences/Energy science and technology Physical sciences/Mathematics and computing new energy vehicles financial risk risk transmission CoVaR risk spillover effect Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-4383801","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Article","associatedPublications":[],"authors":[{"id":304101977,"identity":"4acfb986-efa8-4fda-aba8-f39b98dc96eb","order_by":0,"name":"Yanqiu Cao","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA20lEQVRIiWNgGAWjYDACCcYGxgYDBgZ+KJ+xgZAOHpgWyQbitUBVGRwgVou9dHPbwxkFd+w23+4x/PCDwUZ2wwHmZw/w2iJzsN1wg8Gz5G13zhhL9jCkGW84wGZugN9hiW2SDwwOJ5vdyDGQ4GE4nLjhAA+bBFFajGfkGP/8w/CfSC0bDA7bGUjkmEnzMBwgQssNoJYZBocTJG6klVnLGCQbzzzMZoZXC/uM9GeSPX8O2/PPSN58802FnWzf8eZneLXAQGIDmAIFFTMx6oHAnkh1o2AUjIJRMBIBAM3xSeFZUKy7AAAAAElFTkSuQmCC","orcid":"","institution":"Nanjing Institute of Technology","correspondingAuthor":true,"prefix":"","firstName":"Yanqiu","middleName":"","lastName":"Cao","suffix":""},{"id":304101978,"identity":"a9da35c4-ea1f-48d3-9407-dff4f8a860a9","order_by":1,"name":"Yijie Bian","email":"","orcid":"","institution":"Hohai University","correspondingAuthor":false,"prefix":"","firstName":"Yijie","middleName":"","lastName":"Bian","suffix":""}],"badges":[],"createdAt":"2024-05-07 14:51:22","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-4383801/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-4383801/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":66598674,"identity":"aff7fdb2-3f6f-4e57-a767-7432ccf9cf71","added_by":"auto","created_at":"2024-10-14 16:20:26","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":1069989,"visible":true,"origin":"","legend":"","description":"","filename":"YanqiuCaopaper4301.pdf","url":"https://assets-eu.researchsquare.com/files/rs-4383801/v1_covered_3cdbd6ea-122c-4b70-9c3e-976cdc27a64a.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"Estimating the financial risk transmission effect between new energy vehicle enterprises supply chain based on GARCH–time-varying copula–CoVaR model under the dual carbon target","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"new energy vehicles, financial risk, risk transmission, CoVaR, risk spillover effect","lastPublishedDoi":"10.21203/rs.3.rs-4383801/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-4383801/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThe 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\u0026ndash;time-varying copula\u0026ndash;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.\u003c/p\u003e","manuscriptTitle":"Estimating the financial risk transmission effect between new energy vehicle enterprises supply chain based on GARCH–time-varying copula–CoVaR model under the dual carbon target","msid":"","msnumber":"","nonDraftVersions":[{"code":1,"date":"2024-05-21 03:14:50","doi":"10.21203/rs.3.rs-4383801/v1","editorialEvents":[{"type":"communityComments","content":0}],"status":"published","journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true}}],"origin":"","ownerIdentity":"3325e657-8a7f-49f7-93bf-019ebecf6698","owner":[],"postedDate":"May 21st, 2024","published":true,"recentEditorialEvents":[],"rejectedJournal":[],"revision":"","amendment":"","status":"posted","subjectAreas":[{"id":32104497,"name":"Earth and environmental sciences/Environmental sciences"},{"id":32104498,"name":"Earth and environmental sciences/Environmental social sciences"},{"id":32104499,"name":"Physical sciences/Energy science and technology"},{"id":32104500,"name":"Physical sciences/Mathematics and computing"}],"tags":[],"updatedAt":"2024-10-14T16:12:11+00:00","versionOfRecord":[],"versionCreatedAt":"2024-05-21 03:14:50","video":"","vorDoi":"","vorDoiUrl":"","workflowStages":[]},"version":"v1","identity":"rs-4383801","journalConfig":"researchsquare"},"__N_SSP":true},"page":"/article/[identity]/[[...version]]","query":{"redirect":"/article/rs-4383801","identity":"rs-4383801","version":["v1"]},"buildId":"8U1c8b4HqxoKbykW_rLl7","isFallback":false,"isExperimentalCompile":false,"dynamicIds":[84888],"gssp":true,"scriptLoader":[]}