气候物理风险对实体行业与金融体系间风险交互溢出效应的影响研究

A Study on the Impact of Climate Physical Risk on the Spillover Effect of Risk Interaction Between the Real Industry and Financial System

本文基于DCC—GARCH的动态溢出指数模型,考察了2011—2022年气候物理风险冲击下实体行业和金融体系间风险交互溢出效应的方向与大小,并使用面板模型分析了气候物理风险对二者间风险交互溢出效应的影响及作用机制。研究发现:第一,气候物理风险事件下金融受实体风险输入的水平相对较高,且金融对实体风险输出的波动变化幅度高于金融受实体风险输入的波动变化幅度。第二,在自然灾害事件发生时,相较于事件发生前和发生后,样本行业间的关联性呈明显的增强趋势。第三,基准回归结果表明,气候物理风险的增加会显著提升实体行业和金融体系间的风险交互溢出水平。第四,气候物理风险主要通过增加实体企业的经营风险这一传导机制,提高实体行业和金融体系间风险交互溢出水平。在此基础上,本文分别为监管机构、金融机构与实体企业提供了有针对性的政策建议。

The climate physical risk induced by extreme natural disasters not only poses a serious threat to the global ecological environment and human health,but also spreads to financial institutions through its impact on various real industries.This phenomenon has become one of the main drivers behind the formation and transmission of systemic risks.Based on the dynamic spillover index model of DCC-GARCH,this paper examines the impact and mechanism of risk spillover between the real economy and the financial system under the impact of climate physical risks from 2011 to 2022.The findings are as follows.Firstly,the level of financial exposure to physical risk input is relatively high during climate physical risk events,and the fluctuation range of financial exposure to physical risk output is higher than that of financial exposure to physical risk input.Secondly,during a natural disaster event,the correlation among the sample industries shows a significantly enhanced trend compared with before and after the event.Thirdly,the increase in climate physical risks will significantly increase the level of risk spillover between the real sector and the financial system.Fourthly,climate physical risk increases the risk interaction spillover level between the real industry and the financial system mainly through the transmission mechanism of increasing the operational risk of real enterprises.Based on these main conclusions,this paper puts forward several suggestions.Firstly,after the occurrence of natural disaster events,regulators should encourage real enterprises and financial institutions to disclose information about their business fluctuations caused by climate change in a timely manner,aiming to reduce the spillover effect of risk interaction between real industries and financial institutions.Secondly,for financial institutions,risk supervision on the credit asset structure and asset quality of entities should be strengthened,and the climate risk of lending companies should be taken into account to reduce the level of credit risk caused by corporate defaults.Thirdly,for the real industry,it is necessary to enhance the awareness of climate risk,effectively manage natural disasters response,and mitigate the increase of business risks under the impact of natural disasters.