Gauging the Spillover Interlinkage Level Between Green <scp>FDI</scp>, Economic Growth, Renewable Energy Consumption, and Pollution Emission in Vietnam: New Findings From a Model‐Free Connectedness Approach

ABSTRACT Since the 1986 Doi Moi reforms, Vietnam has been expanding its private sector and attracting foreign direct investment, which causes serious issues on environmental sustainability. We use a model‐free connectedness approach to investigate connections between green FDI, energy security, economic growth, and carbon risk in Vietnam from 1995 to 2022. Our results highlight the two‐way relationship between green FDI and energy security in our sample period. The net total connectedness shows that green FDI receives the most net shocks in our sample. Non‐renewable energy is an energy source that sends shock waves. Renewable energy was negatively impacted from 2016 to 2020. Pairwise directional connectivity shows that renewable energy and fossil fuels, GDP, and carbon dioxide emissions have dominated the attraction of green FDI after 2017. The growth of green FDI in Vietnam faces many difficulties when energy security is threatened. Our findings carry significant policy implications for both investors and governments, particularly in light of the observed spillover effects and the complex interconnections among key indicators. A clear understanding of the primary channels of contagion between these variables provides policymakers with valuable insights for formulating targeted and effective policy responses. By identifying the most influential transmission mechanisms, authorities can design more informed and adaptive strategies to mitigate systemic risks and enhance market stability.