气候变化与泛金融机构系统性风险  

Climate change and systemic risk of pan-financial institutions

作　　者：贾凯威[1] 杜云晴 JIA Kaiwei;DU Yunqing(School of Business Administration,Liaoning Technical University,Huludao 125105,China;Industrial Development Department,Luoyang Yanshi District Advanced Manufacturing Industry Development Zone,Luoyang 471900,China)

机构地区：[1]辽宁工程技术大学工商管理学院,辽宁葫芦岛125105 [2]洛阳偃师区先进制造业开发区管理委员会产业发展部,河南洛阳471900

出　　处：《煤炭经济研究》2025年第2期177-186,共10页Coal Economic Research

基　　金：2023年辽宁省科学事业公益研究基金(软科学研究计划)项目(B类)(2023JH4/10600041);辽宁省2023年决策咨询和新型智库专项重点研究课题(23-A008);辽宁工程技术大学工商管理学院“双一流”专项资助项目(10242/552305900183)。

摘　　要：气候变化及其后果已经成为当今国际社会面临的共同挑战,其中气候变化对系统性金融风险及金融稳定的影响成为金融领域的重要课题。通过实际气温相对历史同期平均气温的偏差测度气候变化,构建由147家银行、保险、证券、房地产、传统能源和新能源上市公司组成的泛金融系统,并借鉴LASSO-VAR-DY模型测度各泛金融机构的系统性风险,实证检验气候变化对系统性风险的影响。研究结果表明:①气候变化会加剧泛金融机构系统性风险;②气温上升和下降对泛金融机构系统性风险具有显著的非对称作用,具体表现为:气温上升对系统性风险的加剧程度要显著大于气温下降对系统性风险的缓释程度;③相对于保险业与新能源行业,银行、证券、房地产和传统能源行业具有更强的气候风险暴露。The frequent occurrence of extreme climate events worldwide has made climate change a common challenge faced by the international community today.The future climate will continue to warm and exacerbate global risks,triggering systemic risks and having far-reaching impacts on the global economy.As the boundaries of the financial system become increasingly blurred and the financial system becomes more generalized,the systemic risk contagion caused by climate change is becoming an important issue in the financial field.The paper measures climate change based on the degree and direction of deviation between actual temperature and historical average temperature during the same period.In response to the high-dimensional characteristics of pan financial institutions,the LASSO-VAR-DY model is used to construct a systemic risk contagion network of 147 listed institutions in China,including banks,insurance,securities,real estate,traditional energy,and new energy.The TO index is used to measure the systemic risk of each institution,and the impact of climate change on systemic risk under the scenario of pan financial institutions is empirically tested.The research results indicate that:①Temperature differences can exacerbate systemic risks in pan financial institutions;②The rise and fall of temperature have a significant asymmetric effect on the systemic risk of pan financial institutions,which is manifested as:the degree of exacerbation of systemic risk by temperature rise is significantly greater than the degree of mitigation of systemic risk by temperature drop;③The impact of temperature on systemic risk in pan financial institutions exhibits industry heterogeneity,with temperature variables mainly affecting the banking,securities,real estate,and traditional energy industries.Based on empirical analysis results,this study starts with improving investors'awareness of climate finance,improving the climate finance regulatory system,and establishing a green,low-carbon,and pan financial system,providing suggestions and r

关 键 词：气候变化 泛金融系统 系统性风险 LASSO-VAR-DY模型 复杂网络 

分 类 号：F832.33[经济管理—金融学] F830.42F272.3