气候变化对系统性金融风险的影响研究——兼论应对气候变化的宏观审慎管理

Study on the Impact of Climate Change on Systemic Financial Risk——Also on Macroprudential Management in Response to Climate Change

气候变化主要通过物理风险渠道和转型风险渠道对金融体系产生冲击,成为引发系统性金融风险的重要驱动因素。本文基于2000—2019年全国气候和金融时间序列数据,建立联立方程组模型,从气温偏离度和降水偏离度两个维度来实证分析气候变化对系统性金融风险的影响程度。研究发现,气候变化对系统性金融风险具有显著影响并经由直接和间接两条路径产生作用:一是气温偏离度对系统性金融风险的直接影响滞后且影响程度为0.2815,经银行业、证券市场和保险市场传导的间接影响为0.1193;二是降水偏离度对系统性金融风险的总体影响程度为0.0043,其中直接影响程度是0.0030而间接影响程度为0.0013。为此,我国积极探索实施了一系列应对气候变化风险的宏观审慎管理措施,但仍存在三方面主要不足,建议建立金融机构气候风险信息披露制度,创新开展对金融机构气候风险的识别和评估,进一步健全应对气候风险的宏观审慎管理框架,以有效应对气候变化可能引发的系统性风险。

Climate change is an important driver of systemic financial risk mainly through physical risk channels and transformational risk channels that impact the financial system.Based on national climate and financial time series data from 2000 to 2019,this paper develops a joint cubic system model to empirically analyze the extent of climate change impact on systemic financial risk in two dimensions:temperature deviation and precipitation deviation.The study found that climate change has a significant impact on systemic financial risk and acts through both direct and indirect pathways:first,the direct impact of temperature deviation on systemic financial risk lags and is 0.2815,and the indirect impact transmitted through the banking,securities and insurance markets is 0.1193;Second,the overall degree of impact of precipitation deviation on systemic financial risk is 0.0043,where the direct degree of impact is 0.0030 while the indirect degree of impact is 0.0013.To this end,China has actively explored and implemented a series of macro-prudential management measures to cope with climate change risks,but there are still three main deficiencies.Therefore,it is recommended to establish a climate risk information disclosure system for financial institutions,innovate the identification and assessment of climate risks for financial institutions,and further improve the macro-prudential management framework to cope with climate risks,so as to effectively respond to the systemic risks that may be triggered by climate change.