碳中和目标下低碳转型对银行风险的影响效应——来自我国上市银行的压力测试  

The Impact of Low-Carbon Transformation on Bank Risk under the Carbon Neutrality Goal--Stress Testing Evidence from Listed Banks in China

作　　者：连飞 吴寒冰 周国富 Lian Fei;Wu Hanbing;Zhou Guofu(School of Finance,Jilin University of Finance and Economics;School of Statistics,Tianjin University of Finance and Economics)

机构地区：[1]吉林财经大学金融学院 [2]天津财经大学统计学院

出　　处：《国际金融研究》2025年第3期62-73,共12页Studies of International Finance

基　　金：国家社会科学基金一般项目“碳中和目标下低碳转型的金融风险传播路径及防范对策研究”(22BTJ064)资助。

摘　　要：本文首先对碳中和目标下低碳转型对银行风险的传导机制进行定性分析,然后以能源结构的转型升级为核心构建低碳转型风险因子,基于我国上市银行2007—2021年面板数据构建模型进行压力测试,评估低碳转型压力因素对银行风险的影响。研究发现:低碳转型呈现出明显的“资产搁浅”效应,是银行风险的冲击来源;随着企业资产损失的上升,低碳转型恶化了企业的财务状况,增加了银行所面临的风险。压力测试表明:银行不良贷款率在假设情景下的压力测试结果均比现实数据数值高;在假设情景的中、重度冲击下,低碳转型对银行不良贷款率的影响比轻度冲击更显著;大型商业银行的低碳转型风险较小,股份制商业银行面临比大型商业银行更大的低碳转型风险,低碳转型对城市商业银行和农村商业银行风险的影响最为显著。The goal of carbon neutrality necessitates China's transition to low-carbon production methods,which will significantly impact sectors such as energy,materials,and public utilities.This shift,in turn,brings low-carbon transformation risks to the banking industry.This article conducts a qualitative analysis of the transmission mechanism through which low-carbon transformation impacts bank risks under the carbon neutrality goal.Subsequently,using energy upgrading as a representative case,a low-carbon transformation risk factor is constructed.Following that,using panel data from listed banks in China from 2007 to 2021,a model is established to conduct stress testing and evaluate the impact of low-carbon transformation pressure factors on bank risks.Research has found that low-carbon transformation exhibits a significant t"asset stranding"effect,which is a source of impact for bank risks.As corporate asset losses increase,low-carbon transformation exacerbates the financial challenges faced by enterprises,thereby amplifying risks for banks.Stress testing demonstrates that the non-performing loan ratio of banks in hypothetical scenarios exceeds the actual data values.Under moderate to severe shock scenarios,the impact of low-carbon transformation on the non-performing loan ratio of banks is more significant compared to mild shock scenarios.Large commercial banks are less vulnerable to low-carbon transformation risks,while joint-stock commercial banks face greater risks than their large counterparts.The impact of low-carbon transformation is most significant for urban and rural commercial banks.This article draws the following policy implications.Firstly,continuously improve the development of stress testing model and the construction of information database plaform for low-carbon transformation risks.Secondly,consider incorporating low-carbon transformation risks into China's macro prudential policy framework.Thirdly,adopt differentiated low-carbon transformation risk financial regulatory policies for different types o

关 键 词：碳中和 低碳转型 银行风险 影响效应 压力测试 

分 类 号：F831[经济管理—金融学]