气候冲击与企业违约风险:基于物理风险的视角  

Climate Shock and Corporate Default Risk from the Perspective of Physical Risk

作　　者：王文蔚 Wang Wenwei

机构地区：[1]中国人民银行金融研究所

出　　处：《世界经济》2025年第3期90-110,共21页The Journal of World Economy

摘　　要：本文从理论层面上分析了气候物理冲击对于企业违约风险的影响和作用机制,认为其主要通过阻碍经营发展能力和资产价值无序重估提升企业的违约风险。在此基础上,利用2007-2019年A股上市公司的数据,本文检验了气候物理冲击对企业违约风险的影响,结果发现:气候物理冲击显著提升了企业的违约风险,与理论分析相一致,机制检验发现气候物理冲击通过影响企业的生产经营和资本市场估值两个渠道提升了企业违约风险。随着企业成本转嫁能力以及信息披露质量的提高,气候物理冲击对于企业信用风险的影响会被削弱。同时气候物理风险在转型风险较大和绿色发展能力较弱的企业中更为严峻。随着气候物理冲击提升企业的违约风险,企业的风险承担意愿受到显著的抑制,融资约束提升。企业违约风险的提升也是气候物理冲击提升银行风险的传导渠道。Climate disasters not only cause negative interference to the production order of the real economy and the stable operation of the financial market,but also have a negative impact on the operation of the financial market,affecting the performance of the stock market.This paper provides a theoretical analysis of how climate shocks influence the corporate default risk,postulating that the main pathways materialise through the physical effect that hinders business development capacity and the capital market effect,which leads to a disorderly asset value appreciation.Using data of A-share listed companies from between 2007 and 2019,the study obtains indicators to assess the physical risk of microenterprises through textual analysis of annual reports,and empirically investigates how climate shock influences corporate default risk.The empirical results demonstrate that climate shock significantly increases the corporate default risk,which is consistent with the theoretical analysis.The chain intermediary effect test concludes that climate shock exerts an effect through three channels:first,direct improvement of corporate default risk by influencing the production and operation of enterprises;second,direct improvement of corporate default risk by influencing the capital market valuation;and third,physical factors are transferred to the capital market,causing a disorderly revaluation,thereby enhancing corporate default risk.The adjustment effect analysis indicates that,with improvement in the the ability to transfer business costs and information disclosure quality,the potential impact of the climate shock on corporate credit risk weakens.The risk effect of climate physics is more severe in enterprises with high transition risk and weak green development ability.With the physical impact of climate increasing the default risk of enterprises,the risk-taking of enterprises has been significantly restrained,and the financing constraints have increased.Finally,the increase of corporate default risk is also the transmission ch

关 键 词：物理风险 违约风险 文本分析 企业经营 价值无序重估 

分 类 号：F832.5[经济管理—金融学]