碳循环、气候变化与金融风险——基于DSGE模型

Carbon cycle,climate change,and financial risks:based on the DSGE model

气候变化会导致极端天气事件增多、经济损失增加,进而会影响金融稳定,需要相关部门及时评估和应对。因此,构建合理的气候金融分析框架,分析气候变化影响金融变量的传导路径,并制定针对性应对措施,具有重要的理论和现实意义。该研究在金融加速器框架下构建了一个包含碳循环、气候变化因素以及多个经济主体的DSGE模型,模拟了气候变化对产出、资产价格、企业违约率以及信贷总量等变量的影响。研究结果显示:①气候变化冲击减少了产出,降低了资本价格和资本收益率,增加了外部融资溢价水平,推高了企业杠杆率和信贷违约率,进而引起信贷紧缩,投资减少。②碳强度冲击增加了产出,提高了资本价格和资本收益率,减少了外部融资溢价水平,降低企业杠杆率和企业信贷违约率,进而引起信贷扩张,投资增加。③减排强度冲击主要通过成本驱动影响宏观经济。短期内经济受减排冲击的负向影响较大,长期地看,随着产出的快速恢复,投资和信贷需求增加,从而促进了经济增长。据此建议:①及时准确地评估气候变化风险在金融体系中的规模,防范非传统的系统性风险对金融市场产生的影响。②积极推动绿色低碳技术的快速发展,促进减污降碳与增加产出的双赢成效。③完善气候变化经济模型分析框架,提升气候变化经济分析框架的现实解释力和理论指导作用。

Climate change will lead to an increase in extreme weather events and economic losses,which will further affect financial stability and require timely assessment and response by relevant departments.Therefore,it is of great theoretical and practical significance to construct a reasonable climate financial analysis framework,analyze how climate change affects financial variables in detail,and formulate targeted policies and measures in combination with transmission paths.This paper constructs a DSGE model including carbon cycle,climate change factors,and multiple economic entities under the framework of financial accelerator and simulates the impact of climate change on output,asset prices,corporate default rate,and total credit.The results show that:①The impact of climate change reduces output,capital price,and return on capital,increases the level of external financing premium,and pushes up the leverage ratio and credit default rate of enterprises,which in turn leads to a credit crunch and reduced investment.②The impact of carbon intensity increases output,capital price,and return on capital,reduces the level of external financing premium,reduces the leverage ratio of enterprises and the default rate of corporate credit,and then causes credit expansion and investment increase.③The impact of emission reduction intensity mainly affects the macro-economy through cost drives.In the short term,the economy is negatively affected by the impact of emission reduction.In the long term,with the rapid recovery of output,the demand for investment and credit increases,thus promoting economic growth.Based on this,this paper puts forward the following suggestions:①Assess the scale of climate change risk in the financial system timely and accurately,and prevent the impact of non-traditional systemic risks on the financial market.②Actively promote the rapid development of green and low-carbon technologies,and promote the win-win results of pollution and carbon reduction and output increase.③Improve the analysis framework of the economic model of climate change and enhance its practical explanatory power and theoretical guidance.