摘要
中国已明确提出"碳达峰"与"碳中和"目标.为减少碳排放,政府可以采取征收碳税的方式推行节能减排.但碳税将带来一系列冲击,尤其是国有商业银行将面临碳税冲击的转型风险.因此,测度气候转型风险所带来的商业银行价值损失是必要的.研究关注碳税冲击的商业银行气候转型风险的压力测试,通过构建12种碳税征收方式的场景,运用莫顿(Merton)模型和压力测试方法,测度气候转型风险对我国国有商业银行信贷风险的冲击.结果表明:第一,碳税政策在实施时,以线性增加的方式征收碳税能很大程度上减少对国有商业银行的冲击.第二,企业面对碳税政策时是否转移价格到自身产品会对商业银行贷款损失产生有着成比例的影响,转移部分碳税价格到产品价格上更有利于商业银行减少贷款损失.第三,碳税征收的价格不同对商业银行贷款价值损失影响明显,商业银行的贷款损失会随着碳税价格的上涨成倍数增长.第四,不同的行业对国有商业银行的信贷影响有很大差异.基于压力测试的结果,从商业银行、政府及企业三个维度提出对应的政策建议.
Abstract
China has clearly proposed the goals of"carbon peaking"and"carbon neutrality".To reduce car-bon emissions,the government can adopt the method of levying carbon tax to promote energy conservation and emis-sion reduction.However,carbon tax will bring a series of impacts;especially the state-owned commercial banks will face the risk of transformation under the impact of carbon tax.Therefore,it is necessary to measure the value loss of commercial banks caused by climate transformation risks.The research focuses on the stress testing of climate transformation risks of commercial banks under carbon tax impact.By constructing 12 scenarios of carbon tax collec-tion methods,using Merton model and stress testing method,it measures the impact of climate transformation risks on the credit risks of state-owned commercial banks in China.The results show that:1.When the carbon tax policy is implemented,levying carbon tax in a linear manner can greatly reduce the impact on state-owned commercial banks.2.Whether enterprises transfer prices to their products when facing carbon tax policies will have a propor-tional impact on the loan losses of commercial banks.Transferring some carbon tax prices to product prices is more conducive to reducing loan losses for commercial banks.3.Different carbon tax prices have significant impacts on the loan value losses of commercial banks.Commercial banks'loan losses would multiply with the rise of carbon tax prices.4.Different industries have significant differences in their impact on the credit of state-owned commercial banks.Based on the results of stress testing,corresponding policy suggestions are proposed from three dimensions:commercial banks,government and enterprises.
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