气候变化下高碳企业转型对金融风险的影响研究

Research on the Impact of the Transformation of High-carbon Enterprises on Financial Risk Under Climate Change

气候变化带来的物理风险和转型风险不仅对实体经济发展造成威胁,而且会对金融系统稳定造成重要影响。本文采用分位数、时域和频域连通性方法,评估气候变化对中国高碳行业的影响,进而分析对以商业银行不良贷款率为代表的金融风险产生的影响。实证结果表明:首先,在极端经济状态下,气候变化对高碳企业的影响,以及高碳企业对商业银行不良贷款率的影响均远高于正常经济状态下气候变化对上述变量的影响。其次,气候变化对城市商业银行、农村商业银行和股份制商业银行不良贷款率的影响,远大于气候变化对国有商业银行不良贷款率的影响。最后,变量之间具有较强的时变特征,且重大事件加剧了变量的溢出效应。因而,相较于长期风险,应当重点关注气候突发事件在短期内对金融机构造成的风险冲击。

The physical and transformational risks posed by climate change not only threaten the development of the real economy,but can also have important implications for the stability of the financial system.This paper employs quantile,time-domain and frequency-domain connectivity methods to assess the impacts of climate change on China's high-carbon industries,and then analyzes the impacts on the financial risks represented by the non-performing loan(NPL)ratios of commercial banks.The empirical results show that:first,the impact of climate change on high-car-bon firms in extreme economic states,and the impact of high-carbon firms on commercial banks'NPL ratios are much higher than the impact of climate change on these variables in normal economic states.Second,the impact of climate change on the NPL ratios of urban commercial banks,rural commercial banks and joint-stock commercial banks is much larger than the impact of climate change on the NPL ratios of state-owned commercial banks.Finally,the vari-ables are highly time-varying and spillover effects are exacerbated by major events.Thus,the focus should be on the risk impacts of climate emergencies on financial institutions in the short term,as opposed to long-term risks.