Measuring Climate Transition Risk Spillovers

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2023-08-16 DOI:10.1093/rof/rfad026

M. Caporin

引用次数: 0

Abstract

In this paper, we study the transition risk spillover among six major financial markets from 2013 to 2021. The US is the main transition risk contributor, while Japan and China are the net risk receivers. Risk spillover may change over time and change according to different types of transition risk shocks. It takes around six weeks for transition risks to be fairly transmitted. On average, around 50% of local climate shocks to a given financial market originate from other markets. Transmission channels include the transmission of information and the economic connections between countries.

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衡量气候变化风险外溢

本文对2013 - 2021年六大金融市场的转型风险溢出进行了研究。美国是转型风险的主要贡献者，而日本和中国是净风险接受者。风险外溢可能随时间而变化，并根据不同类型的转型风险冲击而变化。大约需要6周的时间才能公平地传递过渡风险。平均而言，某一金融市场受到的局部气候冲击中，约有50%来自其他市场。传播渠道包括信息的传递和国家间的经济联系。

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

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.