Do climate risks matter for intersectoral systemic risk spillovers? Evidence from China

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-01-30 DOI:10.1016/j.frl.2025.106873

Xin Hu , Bo Zhu

引用次数: 0

Abstract

This study examines how climate physical risk (CPR) and climate transition risk (CTR) influence systemic risk spillovers across China's economic and financial sectors. Using a quantile connectedness approach, we estimate the intersectoral risk spillovers. The results show that CTR significantly exacerbates these spillovers, particularly in energy-intensive sectors, while CPR's impact is less pronounced. Moreover, we uncover an interaction between CPR and CTR and show that CTR's effects intensify during periods of heightened economic policy uncertainty. These findings reveal climate risks' critical threat to economic and financial stability and suggest developing prudential regulations to mitigate climate-induced systemic risk.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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