气候风险对绿色资产收益的时变冲击：基于TVP-VAR模型的研究

Time-Varying Shocks of Climate Risk to Green Asset Returns: Evidence from a TVP-VAR Model

摘要: 基于TVP-VAR模型，本文以气候物理风险指数与气候转型风险指数为外生冲击来研究气候风险冲击对不同绿色资产(ESG股票指数与绿色债券)收益的时变影响。本文通过等时间间隔脉冲响应以及不同事件时期的脉冲响应差异得到以下结论：(1) 无论是气候物理风险还是气候转型风险，它们对于资产冲击效应主要集中于短期，并呈现快速波动的特征；(2) 2020年3月公共卫生事件时期期间的冲击幅度更大且方向反复，体现了在流动性与风险偏好急剧变化下的资产会出现短期过度反应与快速纠偏；(3) 2022年2月地缘政治冲突事件期间整体波动收敛，但气候转型风险对资产的冲击呈现出更清晰的差异化，绿色债券在当期可能出现显著正向跳升，体现政策预期与资金再配置对绿债定价的影响重大。本文为理解气候风险冲击在不同市场状态下的传导节奏与资产异质性提供了经验证据，并对绿色金融风险管理与政策沟通具有启示意义。

Abstract: Based on a TVP-VAR model, this paper treats the climate physical risk index and the climate transition risk index as exogenous shocks to examine the time-varying effects of climate risk shocks on the returns of different green assets, including ESG stock indices and green bonds. By analyzing equal-interval impulse responses and comparing impulse response dynamics across different event periods, we obtain the following findings. First, for both physical and transition climate risks, the impact on asset returns is primarily concentrated in the short run and exhibits rapid fluctuations. Second, during March 2020, the magnitude of the shocks is larger and the response direction switches more frequently, reflecting short-term overreactions and rapid corrections under abrupt changes in liquidity conditions and risk appetite. Third, during February 2022, overall volatility becomes more contained; however, the impact of transition risk shows clearer cross-asset differentiation, with green bonds potentially displaying a significant positive jump on impact, highlighting the important role of policy expectations and portfolio reallocation in green bond pricing. Overall, this study provides empirical evidence on the transmission dynamics and asset heterogeneity of climate risk shocks under different market conditions, offering implications for risk management and policy communication in the field of green finance.