气候变化如何影响金融系统性风险——来自极端气候事件和绿色(棕色)资产的双重证据

How Climate Change Affects Systemic Financial Risk:Evidence from Extreme Climate Events and Green(Brown)Assets

本文研究了气候变化与中国金融系统性风险之间的关系.首先,本文以极端气候事件为切入点,测试了我国银行、证券与保险行业的系统性风险对极端气候灾害的反应速度,并评估了不同金融行业抵御极端气候灾害的能力,结果证实了部分极端气候事件可能会加剧金融系统性风险.其次,通过构建非线性自回归分布滞后(NARDL)模型,本文分析了绿色和棕色市场股票指数表现对金融子行业系统性风险的影响.结果显示,短期内棕色资产风险的提高及指数的降低会显著增加金融行业的系统性风险.但从长期来看,棕色资产指数上升会增加银行业系统风险,而绿色资产指数上升有助于降低证券业系统性风险,绿色资产风险的减少会显著降低银行业系统性风险.本文的研究不仅强调了应对气候灾害频率和严重程度增加的政策重要性,还提出对绿色和棕色行业实施差异化的金融审慎监管建议,以在降低物理风险的同时,最大限度地减少气候政策实施所带来的转型风险.这对于金融行业改善风险管理模式,降低物理风险与转型风险对金融系统性风险的冲击具有重大意义.

This study investigates the relationship between climate change and systemic risk in China's financial system.First,it examines the responsiveness of systemic risk in the banking,securities,and insurance sectors to extreme climate events,assessing how different financial industries withstand such disasters.The findings confirm that certain extreme climate events can exacerbate systemic financial risk.Second,by constructing a nonlinear autoregressive distributed lag(NARDL)model,this study analyzes the impact of the performance of green and brown market stock indices on the systemic risk of financial sub-sectors.The results indicate that in the short term,an increase in the risk of brown assets and a decrease in their indices significantly amplify systemic risk in the financial industry.However,in the long term,an increase in the brown asset index raises systemic risk in the banking sector,while an increase in the green asset index reduces systemic risk in the securities sector.Furthermore,a reduction in green asset risk significantly lowers systemic risk in the banking sector.In addition,this study underscores the importance of policies addressing the increasing frequency and severity of climate-related disasters.It recommends differentiated financial prudential regulations for green and brown sectors to minimize transition risks associated with climate policy implementation while mitigating physical risks.This approach is crucial to improve risk management frameworks in the financial industry,thereby reducing the impact of both physical and transition risks on systemic risk.