Climate Policy Uncertainty,Investors'Climate Risk Perception and Systematic Financial Risk
One of the biggest problems facing mankind in the twenty-first century is climate change,which has important implications for macroeconomic and financial stability.In this context,this paper measures climate policy uncertainty and financial market risk extremes through the GE-VAR mod-el,and then explores the static and dynamic extreme risk spillover effects of climate policy uncertainty and China's financial markets(stock,bond,foreign exchange and commodity futures markets)based on the TVP-VAR-DY model,and finally using the quartile-to-quartile approach(QQA),the the impact of climate policy uncertainty on financial systemic risk and its transmission mechanism.The empirical results show that,firstly,un-der uncertainty,the stock market has the highest level of extreme risk spillovers,the futures market has the second highest level of extreme risk spillovers,and the foreign exchange market has the lowest level of extreme risk spillovers.Secondly,there is a significant positive risk spillover effect between climate policy uncertainty and China's financial markets,and the stock market is a net exporter of risk,while the other three sub-markets are net recipients of risk.The spillover effect between climate policy uncertainty and China's financial market has significant time-varying characteristics and is very sensitive to extreme events,and the level of risk spillovers fluctuates dramatically in the face of major event shocks such as the escalation of geopolitical conflicts,trade friction events,and changes in climate policy.Thirdly,the impacts of climate policy uncertainty on China's financial system are positive and asymmetric in general,and the impact of climate policy uncertainty on the financial market is strongest when the financial system and climate policy uncertainty are at extremes.Moreover,the study finds that investor climate risk perceptions exacerbate the risk contagion between climate policy uncertainty and the financial market.The paper provides policy implications for coping with climate policy uncertainty shocks,ensuring sound climate policy implementation and preventing systemic financial risks.
万方数据
维普
