气候政策不确定性、投资者气候风险感知与系统性金融风险

Climate Policy Uncertainty,Investors′ Climate Risk Perception and Systematic Financial Risk

21世纪人类面临的最大问题之一是气候变化,气候变化对宏观经济与金融稳定产生重要影响。在此背景下,文章通过GE-VaR模型测度气候政策不确定性与金融市场风险极端状态,并在此基础上基于TVP-VAR-DY模型探究了气候政策不确定性与中国金融市场(股票、债券、外汇和商品期货市场)的静态与动态极端风险溢出效应,最后结合投资者气候风险感知视角通过分位数对分位数方法(QQA)探究气候政策不确定性对金融系统性风险的影响及其传导机制。实证结果表明:第一,在不确定性状态下,股票市场的极端风险溢出水平最高,期货市场的极端风险溢出水平次之,外汇市场的极端风险溢出水平最低;第二,气候政策不确定性与中国金融市场间存在显著的正向风险溢出效应,且股票市场是风险净输出方,而其他3个子市场是风险的净接受方,气候政策不确定性与中国金融市场间的溢出效应存在显著的时变特征,并对极端事件十分敏感;第三,气候政策不确定性对中国金融系统的冲击总体上是正向且不对称的,当金融系统和气候政策不确定性处于极端状态时,气候政策不确定性对金融市场的冲击力度最强,此外,投资者气候风险感知会加剧气候政策不确定性与金融市场的风险传染。文章研究结论对应对气候政策不确定性冲击、保证气候政策稳健实施与防范系统性金融风险具有一定政策启示。

One of the biggest problems facing mankind in the twenty-first century is climate change, which has important implications for macroeconomic and financial stability. In this context, this paper measures climate policy uncertainty and financial market risk extremes through the GE-VAR model, and then explores the static and dynamic extreme risk spillover effects of climate policy uncertainty and China′s financial markets(stock, bond,foreign exchange and commodity futures markets) based on the TVP-VAR-DY model, and finally using the quartile-to-quartile approach(QQA),the the impact of climate policy uncertainty on financial systemic risk and its transmission mechanism. The empirical results show that, firstly, under uncertainty, the stock market has the highest level of extreme risk spillovers, the futures market has the second highest level of extreme risk spillovers, and the foreign exchange market has the lowest level of extreme risk spillovers. Secondly, there is a significant positive risk spillover effect between climate policy uncertainty and China′s financial markets, and the stock market is a net exporter of risk, while the other three sub-markets are net recipients of risk. The spillover effect between climate policy uncertainty and China′s financial market has significant time-varying characteristics and is very sensitive to extreme events, and the level of risk spillovers fluctuates dramatically in the face of major event shocks such as the escalation of geopolitical conflicts, trade friction events, and changes in climate policy. Thirdly, the impacts of climate policy uncertainty on China′s financial system are positive and asymmetric in general, and the impact of climate policy uncertainty on the financial market is strongest when the financial system and climate policy uncertainty are at extremes. Moreover, the study finds that investor climate risk perceptions exacerbate the risk contagion between climate policy uncertainty and the financial market. The paper provides policy implications for coping with climate policy uncertainty shocks, ensuring sound climate policy implementation and preventing systemic financial risks.