Dynamic impact of climate risks on financial systemic risk: Evidence from China

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2024-08-21 DOI:10.1111/irfi.12470

Ruwei Tian, Xin Li

引用次数: 0

Abstract

As climate issues gain increasing attention, climate-related risks now appear to have the potential to be transmitted to the financial system. This paper utilizes a bootstrap rolling window Granger causality test to explore the dynamic correlation between climate transition risk (CTR), climate physical risk (CPR), and financial systemic risk. Empirical findings reveal that, during periods of intensive climate policy transformation, CTR exhibits a significant enhancing effect on systemic financial risk. However, no such phenomenon is observed for CPR. This research indicates that the uncertainty brought about by transitions in climate policy can significantly influence financial systemic risk.

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随着气候问题日益受到关注，与气候相关的风险现在似乎有可能传导到金融系统。本文利用自举滚动窗口格兰杰因果检验法，探讨了气候过渡风险（CTR）、气候物理风险（CPR）和金融系统性风险之间的动态相关性。实证研究结果表明，在气候政策密集转型期间，气候转型风险对系统性金融风险有显著的增强作用。然而，在 CPR 方面却没有观察到这种现象。这项研究表明，气候政策转型带来的不确定性会对金融系统性风险产生重大影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.