Supply Chain Shocks and the Reconfiguration of Green Finance Markets: A Quantile-on-Quantile Connectedness Analysis

Supply chain disruptions have become a major source of macro-financial stress, yet their implications for green finance remain underexplored. This paper investigates the state-dependent connectedness between supply-side bottlenecks and the green finance market, represented by clean energy equities, green bonds, and carbon prices. Using daily data on regional Supply Bottleneck Indices (SBIs) for China, the United States, and the euro area, we first construct a global Supply Bottleneck Index (GSBI) by principal component analysis and then estimate pairwise quantile-on-quantile connectedness (QQC) between supply bottleneck indicators and each green finance submarket. The results show that connectedness is strongly nonlinear, asymmetric, and time-varying. For the global indicator, connectedness intensifies at both joint and cross-tail quantile combinations, while mid-quantile states exhibit weak coupling. Regional results reveal clear heterogeneity: China and the United States display the strongest connectedness with clean energy equities in extreme upper-tail states, whereas the euro-area indicator is most tightly linked with the carbon market. Across many extreme states, supply bottleneck indicators show positive net connectedness with green finance markets, but green finance markets, especially carbon prices, can dominate the bilateral connectedness relation under calmer or intermediate regimes. Robustness checks based on average and quantile-rank GSBI constructions, a post-2023 subsample, and alternative QQC tuning choices support the tail-dominance pattern. These findings suggest that supply bottlenecks are not uniformly related to all green assets; rather, they are associated with state-dependent changes in the internal connectedness architecture of the green finance system. The paper contributes to the literature on financial connectedness and sustainable finance by showing how a real-economy disturbance is associated with changes in the connectedness and resilience of green financial markets.