低碳转型相关行业对银行业风险的影响——基于“双碳”战略背景的研究

Impact of Low-Carbon Transition Related Industries on Banking Risk--Against Background of“Double Carbon”Strategy

本文将低碳转型相关行业分为高碳行业和低碳行业,在时间维度和截面维度上分别使用TVP-VAR模型和马尔可夫区制转换模型,分析“双碳”战略背景下这些行业对银行业的风险溢出特征,得出如下结论:第一,在高风险状态下的风险溢出效应普遍显著高于低风险状态;第二,“双碳”战略增加了各低碳转型相关行业对银行业的风险溢出效应,但随时间发展有所缓和;第三,低碳行业的正向风险溢出效应主要表现在“双碳”战略提出节点的近期,持续时间短暂而影响力度较大,而高碳行业的正向风险溢出效应更加持久且影响力度较小。

This paper divides low-carbon transition related industries into high-carbon industries and low-carbon indus-tries,and uses TVP-VAR model and Markov regime switching model in time dimension and cross-sectional dimension re-spectively to analyze the risk spillover characteristics of these industries to the banking industry against the background of"double carbon"strategy.The conclusions are as follows:firstly,the risk spillover effect in high-risk states is generally significantly higher than that in low-risk states;secondly,the"double carbon"strategy has increased the risk spillover ef-fect of low-carbon transition related industries on the banking industry,but has eased over time;thirdly,the positive risk spillover effect of low-carbon industries is mainly reflected in the recent period when the"double carbon"strategy was proposed,with a short duration and significant impact,while the positive risk spillover effect of high-carbon industries is more persistent and less influential.