极端气候事件冲击下“碳—金融”系统跨市场风险溢出研究  

Research on Cross-Market Risk Spillovers of“Carbon-Finance”System under the Impact of Extreme Cli⁃mate Events

作　　者：王娟[1] 何苗苗 杨明远 Wang Juan;He Miaomiao;Yang Mingyuan

机构地区：[1]河南科技大学商学院,河南洛阳471023

出　　处：《金融理论与实践》2025年第2期31-45,共15页Financial Theory and Practice

基　　金：河南省哲学社会科学规划项目“河南低碳转型金融风险的传染机制与防范对策研究”(2023BJJ027);河南省哲学社会科学规划项目“数字化转型赋能河南国企内部风险防控能力研究”(2023BJJ029)的阶段性成果。

摘　　要：选取四个重大极端气候事件,运用TVP—VAR模型,从静态和动态两个方面,对中国“碳—金融”系统的风险溢出效应进行实证分析。研究结果表明:第一,“碳—金融”系统存在显著的双向风险溢出效应,风险承受的主要市场也是风险对外溢出的主要来源;第二,当极端气候事件发生时,“碳—金融”系统的总风险溢出水平显著上升,其影响幅度因事件突发性、气候事件特定属性和区域金融发展水平而异;第三,各金融子市场的净风险溢出效应在极端气候事件冲击下呈现出不同的变化趋势,其中保险市场始终为风险输出者,多元金融市场则为风险承受者。在极端气候事件频发的背景下,建议相关部门建立气候风险监测和预警体系,强化保险市场的气候风险管控能力,增强多元金融市场的气候风险承受能力,有效防范风险的跨市场传播。This study selects four major extreme climate events and uses TVP—VAR model to empirically analyze the risk spillover effects of China’s“carbon-finance”system from both static and dynamic aspects.The results show that:First,there is a significant two-way risk spillover effect in the carbon-finance system,and the main risk-bearing market is also the main source of risk spillover.Second,when extreme climate events occur,the total risk spillover level of the system increases significantly,and the magnitude of the impact varies with the abruptness of the event,the specific attributes of the climate event,and the level of regional financial development.Third,the net risk spillover effect of each financial sub-market shows different trends under the impact of extreme climate events.Among them,the insurance market is always the risk exporter,while the diversified financial market is the risk acceptor.In the context of frequent extreme climate events,relevant departments should establish a climate risk monitoring and early warning system,strengthen the climate risk control capacity of the insurance market,enhance the climate risk tolerance capacity of diversified financial markets,and effectively prevent the cross-market transmission of risks.

关 键 词：“碳—金融”系统 极端气候事件 气候风险 溢出效应 保险市场 金融稳定 

分 类 号：F831.4[经济管理—金融学]