| 摘要: |
| 摘要：当前，全球跨境资本流动格局正经历深刻变化，气候风险对金融系统稳定的影响日益凸显。聚焦气候风险对跨境资本流动的作用路径，通过构建TVP-SV-VAR模型，系统探究气候风险通过经济政策不确定性与大宗商品价格波动对跨境资本流动的动态影响及传导机制。研究发现：气候风险对跨境资本流动的冲击具有显著时变特征，在极端天气事件初期会抑制短期资本流入，但随着时间推移，负向影响逐渐减弱并转为正向促进效应，长期趋于中性均衡。在传导机制上，一方面，气候风险通过加剧经济政策不确定性引发投资者预期紊乱，推动资本避险外流；另一方面，气候风险通过冲击大宗商品供应链推升价格波动，改变贸易条件与资金回报率，进而影响跨境资本流向。实证分析表明，大宗商品价格渠道与经济政策不确定性渠道均存在显著的时变传导效应，且两者交互作用强化了资本流动的非线性波动。基于结论，提出建立气候－资本联动监测机制等政策建议，为防范气候风险引发的跨境资本异常波动提供理论与实践参考。 |
| 关键词: 关键词：气候风险；跨境资本流动；TVP-SV-VAR模型；大宗商品价格；经济政策不确定性 |
| DOI： |
| 分类号:F831.7 |
| 基金项目: |
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| Dynamic Impacts of Climate Risk on Cross-Border Capital Flows：An Empirical Analysis Using the TVP-SV-VAR Model Incorporating Dual-Channel Time-Varying Transmission Mechanisms and Interaction Effects |
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FEI Lei，PEI Xiao-wen，LIU Ying，CHEN Xiang，YIN Yi-ying，WANG Zheng-qi，WANG Jie
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(Rizhao Branch,People’s Bank of China)
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| Abstract: |
| Abstract：The global landscape of cross-border capital flows is currently undergoing profound transformations,with the impact of climate risks on financial system stability becoming increasingly prominent.Focusing on the transmission pathways through which climate risks affect cross-border capital flows,this study employs a TVP-SV-VAR model to systematically investigate the dynamic impact and transmission mechanisms of climate risks on cross-border capital flows via economic policy uncertainty and commodity price fluctuations.The findings reveal that the impact of climate risks on cross-border capital flows exhibits significant time-varying characteristics.In the initial stages of extreme weather events,climate risks tend to inhibit short-term capital inflows;however,over time,this negative effect gradually diminishes and shifts to a positive promoting effect,eventually converging toward a neutral equilibrium in the long term.Regarding transmission mechanisms,on one hand,climate risks exacerbate economic policy uncertainty,leading to investor expectation distortions and driving capital outflows for safety.On the other hand,climate risks disrupt commodity supply chains,amplifying price fluctuations,altering trade conditions and capital return rates,thereby influencing the direction of cross-border capital flows.Empirical analysis indicates that both the commodity price channel and the economic policy uncertainty channel exhibit significant time-varying transmission effects,and their interaction intensifies the nonlinear volatility of capital flows.Based on these conclusions,policy recommendations such as establishing a climate-capital linkage monitoring mechanism are proposed,offering theoretical and practical insights for mitigating abnormal fluctuations in cross-border capital flows triggered by climate risks. |
| Key words: Key words：Climate Risk；Cross-border Capital Flows；TVP-SV-VAR Model；Commodity Prices；Economic Policy Uncertainty |
