Energy Prices,Green Concern Index in Financial Markets and Climate Risks in Commercial Banks
The climate risk of the banking industry has the characteristic of exposure to stranded assets and is subject to shocks from energy and financial markets.This article uses the frequency domain analysis method of quantile vector autoregressive model to study the dynamic spillover relationship among three variables.The conclusion shows that:firstly,overall,when the climate risk of commercial banks is at the low quantile,it will have spillover effects on the energy market and increase the green attention of the financial market.Secondly,when the climate risk exposure of commercial banks is high,the risk will spill over to the energy and financial markets,and the short-term spillover effect is obvious.This conclusion is valid for all types of commercial banks.Thirdly,when climate risk is at a low percentile,there are differences in the empirical results of various banks:climate risk of large state-owned commercial banks will affect the green attention of the financial market,but the spillover effect on the energy market is not significant;large joint-stock banks will affect the green attention of the financial market,but they will be affected by spillover effects from the energy market;urban commercial banks will be influenced by both the green attention of the energy market and the financial market.This article empirically demonstrates that climate risk in commercial banks can spill over to the energy and financial markets,and managing climate risk is crucial for commercial banks.
Energy MarketFinancial Market Green AttentionClimate Risk ManagementChinese Banking Industry
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