{"title":"Dynamic impact of climate risks on financial systemic risk: Evidence from China","authors":"Ruwei Tian, Xin Li","doi":"10.1111/irfi.12470","DOIUrl":null,"url":null,"abstract":"<p>As climate issues gain increasing attention, climate-related risks now appear to have the potential to be transmitted to the financial system. This paper utilizes a bootstrap rolling window Granger causality test to explore the dynamic correlation between climate transition risk (CTR), climate physical risk (CPR), and financial systemic risk. Empirical findings reveal that, during periods of intensive climate policy transformation, CTR exhibits a significant enhancing effect on systemic financial risk. However, no such phenomenon is observed for CPR. This research indicates that the uncertainty brought about by transitions in climate policy can significantly influence financial systemic risk.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"25 1","pages":""},"PeriodicalIF":2.6000,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/irfi.12470","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
As climate issues gain increasing attention, climate-related risks now appear to have the potential to be transmitted to the financial system. This paper utilizes a bootstrap rolling window Granger causality test to explore the dynamic correlation between climate transition risk (CTR), climate physical risk (CPR), and financial systemic risk. Empirical findings reveal that, during periods of intensive climate policy transformation, CTR exhibits a significant enhancing effect on systemic financial risk. However, no such phenomenon is observed for CPR. This research indicates that the uncertainty brought about by transitions in climate policy can significantly influence financial systemic risk.
期刊介绍：
The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.
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