A Study on the Impact of Climate Physical Risk on the Spillover Effect of Risk Interaction Between the Real Industry and Financial System
The climate physical risk induced by extreme natural disasters not only poses a serious threat to the global ecological environment and human health,but also spreads to financial institutions through its impact on various real indus-tries.This phenomenon has become one of the main drivers behind the formation and transmission of systemic risks.Based on the dynamic spillover index model of DCC-GARCH,this paper examines the impact and mechanism of risk spillover between the real economy and the financial system under the impact of climate physical risks from 2011 to 2022.The findings are as follows.Firstly,the level of financial exposure to physical risk input is relatively high during climate physical risk events,and the fluctuation range of financial exposure to physical risk output is higher than that of financial expo-sure to physical risk input.Secondly,during a natural disaster event,the correlation among the sample industries shows a sig-nificantly enhanced trend compared with before and after the event.Thirdly,the increase in climate physical risks will signifi-cantly increase the level of risk spillover between the real sector and the financial system.Fourthly,climate physical risk in-creases the risk interaction spillover level between the real industry and the financial system mainly through the transmission mechanism of increasing the operational risk of real enterprises.Based on these main conclusions,this paper puts forward several suggestions.Firstly,after the occurrence of natural disas-ter events,regulators should encourage real enterprises and financial institutions to disclose information about their business fluctuations caused by climate change in a timely manner,aiming to reduce the spillover effect of risk interaction between real industries and financial institutions.Secondly,for financial institutions,risk supervision on the credit asset structure and asset quality of entities should be strengthened,and the climate risk of lending companies should be taken into account to reduce the level of credit risk caused by corporate defaults.Thirdly,for the real industry,it is necessary to enhance the awareness of cli-mate risk,effectively manage natural disasters response,and mitigate the increase of business risks under the impact of natural disasters.
万方数据
维普
