TY - UNPB
T1 - Climate Risk and Systemic Risk
T2 - Insights from Extreme Risk Spillover Networks
AU - Zhai, Zhe
AU - Chen, Lin
AU - Zhao, Longfeng
AU - Yang, Yajie
AU - Rehman, Ramiz Ur
N1 - There are two versions of the paper available
PY - 2024/10/1
Y1 - 2024/10/1
N2 - Climate change shocks pose a threat to the stability of the financial system. This study examines the influence of climate risks on systemic risk in the Chinese market by utilizing extreme risk spill over network. Moreover, we construct climate risk indices for physical risks (abnormal temperature), and transition risks (Climate Policy Uncertainty). We demonstrate a significant increase in systemic risk due to climate risks, which can be attributed, in part, to investor sentiment. Furthermore, institutional investors can mitigate the adverse impact of climate risks. Our findings suggest that policymakers and investors need to exercise greater vigilance in addressing climate-related adverse effects.
AB - Climate change shocks pose a threat to the stability of the financial system. This study examines the influence of climate risks on systemic risk in the Chinese market by utilizing extreme risk spill over network. Moreover, we construct climate risk indices for physical risks (abnormal temperature), and transition risks (Climate Policy Uncertainty). We demonstrate a significant increase in systemic risk due to climate risks, which can be attributed, in part, to investor sentiment. Furthermore, institutional investors can mitigate the adverse impact of climate risks. Our findings suggest that policymakers and investors need to exercise greater vigilance in addressing climate-related adverse effects.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-85183008005&partnerID=MN8TOARS
U2 - 10.2139/ssrn.4690920
DO - 10.2139/ssrn.4690920
M3 - Preprint
BT - Climate Risk and Systemic Risk
PB - SSRN
ER -