{"title":"气候转型风险与金融部门的溢出效应:来自中国的新证据","authors":"Shiyuan Li, Xin Li","doi":"10.1111/1467-8454.12374","DOIUrl":null,"url":null,"abstract":"<p>This paper employs the connectedness approach based on a time-varying parameter vector autoregressive model (TVP-VAR) to examine the overall spillover effects, directional spillover effects and pairwise spillover effects of climate transition risk (CTR) and financial sectors of China in both the time domain and frequency domain. The main findings are as follows: Firstly, spillover effects from CTR are significant, impacting not only individual sectors but also amplifying across the entire system. Secondly, while the influence of CTR on financial sectors is lower compared to interconnections among financial sectors, it remains considerable. Thirdly, in the short-term, risks transmit from CTR to financial sectors, while in the long-term, the direction reverses. Fourthly, there were significant fluctuations in spillover effects among CTR and financial sectors from 2003 to 2008, indicating increased risk under extreme conditions. The findings of this study contribute to the understanding of potential risks in the financial system by regulatory authorities, facilitating the adoption of appropriate regulatory measures to maintain market stability. Moreover, it provides valuable insights for investors to better accurately assess risks and returns.</p>","PeriodicalId":46169,"journal":{"name":"Australian Economic Papers","volume":"64 1","pages":"71-90"},"PeriodicalIF":1.2000,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Spillover effects of climate transition risk and financial sectors: New evidence from China\",\"authors\":\"Shiyuan Li, Xin Li\",\"doi\":\"10.1111/1467-8454.12374\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper employs the connectedness approach based on a time-varying parameter vector autoregressive model (TVP-VAR) to examine the overall spillover effects, directional spillover effects and pairwise spillover effects of climate transition risk (CTR) and financial sectors of China in both the time domain and frequency domain. The main findings are as follows: Firstly, spillover effects from CTR are significant, impacting not only individual sectors but also amplifying across the entire system. Secondly, while the influence of CTR on financial sectors is lower compared to interconnections among financial sectors, it remains considerable. Thirdly, in the short-term, risks transmit from CTR to financial sectors, while in the long-term, the direction reverses. Fourthly, there were significant fluctuations in spillover effects among CTR and financial sectors from 2003 to 2008, indicating increased risk under extreme conditions. The findings of this study contribute to the understanding of potential risks in the financial system by regulatory authorities, facilitating the adoption of appropriate regulatory measures to maintain market stability. Moreover, it provides valuable insights for investors to better accurately assess risks and returns.</p>\",\"PeriodicalId\":46169,\"journal\":{\"name\":\"Australian Economic Papers\",\"volume\":\"64 1\",\"pages\":\"71-90\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-07-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Australian Economic Papers\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/1467-8454.12374\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Australian Economic Papers","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/1467-8454.12374","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Spillover effects of climate transition risk and financial sectors: New evidence from China
This paper employs the connectedness approach based on a time-varying parameter vector autoregressive model (TVP-VAR) to examine the overall spillover effects, directional spillover effects and pairwise spillover effects of climate transition risk (CTR) and financial sectors of China in both the time domain and frequency domain. The main findings are as follows: Firstly, spillover effects from CTR are significant, impacting not only individual sectors but also amplifying across the entire system. Secondly, while the influence of CTR on financial sectors is lower compared to interconnections among financial sectors, it remains considerable. Thirdly, in the short-term, risks transmit from CTR to financial sectors, while in the long-term, the direction reverses. Fourthly, there were significant fluctuations in spillover effects among CTR and financial sectors from 2003 to 2008, indicating increased risk under extreme conditions. The findings of this study contribute to the understanding of potential risks in the financial system by regulatory authorities, facilitating the adoption of appropriate regulatory measures to maintain market stability. Moreover, it provides valuable insights for investors to better accurately assess risks and returns.
期刊介绍:
Australian Economic Papers publishes innovative and thought provoking contributions that extend the frontiers of the subject, written by leading international economists in theoretical, empirical and policy economics. Australian Economic Papers is a forum for debate between theorists, econometricians and policy analysts and covers an exceptionally wide range of topics on all the major fields of economics as well as: theoretical and empirical industrial organisation, theoretical and empirical labour economics and, macro and micro policy analysis.