气候变化对金融风险的影响研究：理论机制、经验证据与防控对策

Climate change could not only lead to serious economic losses, but also financial risk. Since the related research is still at the initial stage, it is extremely important to build a systematic analysis framework to study the impact of climate change on financial risk, and clarify the formation path of financial risk in the context of climate change. This project reveals the impact mechanism of climate change on financial risk by using a multi-disciplinary technology. The multi-disciplinary technology refers to the theory of ecological economics, financial risk, uncertainty and so on. Considering the relationship between physical risk and transition risk, this project builds a tow factor ecological macroeconomic model to simulate the financial stability’s response to climatic disaster and climate policies. We also test the nonlinear and asymmetric dynamics effect of climate change on financial risk in the short and long run by using nonlinear autoregressive distributed lag model. From the perspective of policy synergy, we analyze and evaluate the prevention mechanism and effect of monetary policy and macro-prudential regulation policy on climate-related financial risk. This project puts forward differentiated climate-related financial risk prevention countermeasures according to the difference of central bank’s mandate and powers between developed and developing countries. The results of this research would provide a new idea for the cause analysis of financial risk, as well as a decision-making reference for the government to formulate climate-related financial risk prevention policies.

气候变化不仅造成严重的经济损失，对金融风险的影响也不容忽视，相应研究却处于起步阶段。因此，建立一个系统的研究框架，探究气候变化对金融风险的影响，明晰气候变化背景下金融风险形成路径显得极为重要。本项目应用生态经济学理论、金融风险理论、不确定理论等多学科交叉技术深入揭示气候变化对金融风险的影响机理，构建包含物理风险与转型风险双因子的生态宏观经济模型，模拟气候灾害和气候政策对金融稳定的冲击响应，采用非线性自回归分布滞后模型，检验气候变化对金融风险的非线性长短期影响及非对称传导效应。从政策协同视角，分析和评估货币政策与宏观审慎监管政策对气候变化相关金融风险的防控机制与效果，并针对发达国家与发展中国家中央银行职责与权力范围不同，提出差异化的防控对策。研究成果将为分析金融风险成因提供新思路，同时也为政府部门制定气候变化相关金融风险防控政策提供决策参考。

气候异常给社会经济造成巨大财产损失，进而可能引发金融领域的动荡及风险。由于无法准确预测气候灾害发生的频率和强度，以及气候政策出台的不可预测性，这都使得气候金融风险具有高度不确定性。因此，多维度解构气候金融风险形成机理，深度挖掘影响气候金融风险形成的关键因素，对有效防控气候金融风险至关重要。基于此，本项目构建了包含物理风险与转型风险双因子的理论框架，揭示了气候变化对金融风险的影响机制，精准识别了两者之间的非线性与非对称特征，并评估了相关政策的防控效果。首先，通过理论演绎深入剖析气候变化对金融风险影响的物理风险机制和转型风险机制。针对物理风险机制，本项目分别从宏观跨国视角和微观家庭视角进行实证检验，结果表明气候风险不仅会给金融稳定带来不利冲击，也会使家庭的金融风险增大。针对转型风险机制，本项目分别从企业视角和银行视角进行实证检验，结果显示气候政策的实施显著增大高碳企业的违约风险，并且提高商业银行风险承担。其次，通过将气候变化变量分解为正向变动累积和与负向变动累积和两部分，检验气候变化对金融风险的非线性长短期影响及非对称传导效应。从短期动态视角来看，气候变化正向冲击对金融稳定的影响在当期要大于负向冲击。从长期均衡视角来看，气候变化负向冲击后的长期调整要大于正向冲击。最后，本项目采用现实数据评估了绿色货币政策、绿色信贷政策、碳交易政策和宏观审慎监管政策对气候金融风险的防控效果。绿色货币政策和绿色信贷政策可以弱化气候转型风险对商业银行风险承担的影响；碳交易政策可以降低气候政策导致的高碳企业违约风险；宏观审慎监管政策可以提高金融系统在气候物理风险冲击下维持稳定的可能性。本项目的科学意义：通过建立一个系统的研究框架，挖掘了气候金融风险的形成与防控机制，并进行多角度深层次的定量分析，验证了理论对现实问题的解释力。研究结论为认识金融风险成因提供了新思路，也为制定气候金融风险防控对策提供参考。