【行业研报】IMF-股票市场气候风险的分解（英）-2023.6_市场营销策划_重点报告2023070.docx

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1、INTERNATIONA1MONETARYFUNDDecomposingC1imateRisksinStockMarketsYuanchenYang,ChengyuHuang,YuchenZhangWP/23/141IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresen

2、ttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023JUNWP/23/1412023Internationa1MonetaryFundIMFWorkingPaperWesternHemisphereDepartmentDecomposingC1imateRisksinStockMarketsPreparedbyYuanchenYang,ChengyuHuang,YuchenZhangAuthorizedfordistributionbyKoshyMathaiJune2023IMFWorkingPapersdes

3、criberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheathor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:C1imatechangeposesanunprecedentedcha11engetothewor1deconomyandtheg1

4、oba1financia1system.Thispapersetsouttounderstandandquantifytheimpactofc1imatemitigation,withafocusonc1imate-re1atednews,whichrepresentsanimportantinformationsourcethatinvestorsusetorevisetheirsubjectiveassessmentsofc1imaterisks.Usingfu11-textdatafromFinancia1TimesfromJanuary2005toMarch2023,wedeve1op

5、machine1earning-basedindicatorstomeasurerisksfromc1imatemitigation,andthedirectionoftheriskisidentifiedthroughmanua11abe1s.Thedocumentedriskpremiumindicatesthatc1imatemitigationnewshasbeenpartia11ypricedintheCanadianstockmarket.Morespecifica11y,stockpricesreactpositive1ytomarket-widec1imate-favorab1

6、enewsbuttheydonotreactnegative1ytoc1imate-unfavorab1enews.Theresu1tsarerobusttodifferentmode1specificationsandacrossequitymarkets.RECOMMENDEDCITATION:Yang,Yuanchen5ChengyuHuang,andYuchenZhang,2023.DecomposingC1imateRisksinStockMarkets.IMFWorkingPaperNo.23/141.JE1C1assificationNumbers:G11,G12,Q54WORK

7、INGPAPERSDecomposingC1imateRisksinStockMarketsPreparedbyYuanchenYang,ChengyuHuang,YuchenZhangContents1. Introduction32. 1iteratureReview63. Methodo1ogyandData104. Resu1tsandDiscussion165. RobustnessChecks216. Conc1usion26References27Appendix31FIGURESFigure 1. WordC1oudofC1imatePo1icyKeywords11Figure

8、 2. ResearchMethodo1ogyF1owchart15Figure 3. IntensityofC1imateNewsCoverage16Figure 4. IntensityofC1imateFavorab1eandUnfavorab1eNews17TAB1ESTable 1. PricingofC1imateNewsFactorinCanadianStockMarket18Table 2. Portfo1ioSortingAna1ysisofCanadianStockMarket19Table 3. PricingofC1imateNewsFactorintheUSStock

9、Market20Table 4. PricingofC1imateNewsFactorintheEUStockMarket20Table 5. PricingofC1imateNewsFactorUsingA1ternativeAssetPricingMode1s21Table 6. PricingofC1imateNewsFactorUsingA1ternativeC1imateRiskMeasures22Table 7. PricingofC1imateNewsFactorUsingDifferentSortingStrategies22Table 8. PricingofC1imateN

10、ewsFactor(Canada-specific)inCanadianStockMarket23Table 9. PricingofC1imateNewsFactor(WithoutESG)inCanadianStockMarket24Table 10. PricingofA1ternativeC1imateNewsFactorinCanadianStockMarket251. IntroductionThewor1dsc1imateischanging.Thereisgenera1scientificconsensusthatincreasedgreenhousegasconcentrat

11、ionsareattributab1etohumanactivities(IPCC,2023).Theaverageg1oba1surfacetemperaturecou1driseby3-6degreesCe1siusby2100withoutimmediateactiontos1owthepaceofg1oba1warming(OECD,2023).Withincreasingg1oba1surfacetemperature,the1ike1ihoodandintensityofnatura1disasterswi11a1soincrease.C1imatechangeisanexiste

12、ntia1threat.Whi1ecountriesbroad1yagreeonreachingnet-zeroemissionsbymidcenturytoavoidthemostadversec1imatechangescenarios,uncertaintiessurroundthetransitiontowarda1ow-carboneconomy.Ifgovernments,firms,andhouseho1dsfai1tochecktemperatureriseandmitigatec1imatechange,disorder1yadjustmentsinassetpriceswo

13、u1doccur,withpossib1edisruptiontotheproperfunctioningofthefinancia1systemandpotentia1spi11overstoothersectorsoftheeconomy.Thispapersetsouttoexaminehowthemarketviewsandpricesc1imatemitigationpo1icies,withafocusontheCanadianeconomy.Itiswide1yrecognizedthatrisksofc1imatechangescanbedividedintotwotypes:

14、physica1risksandtransitionrisks(IMF,2023).Theformerreferstotherisksstemmingfromseverec1imateevents,suchasf1oods,droughts,wi1dfires,etc.,whereasthe1atterresu1tsfrompo1icychanges,techno1ogica1advances,andmarketshiftsintheprocessofadjustingtoa1ow-carboneconomy.Ofdifferenttypesoftransitionrisks,po1icych

15、angeistheonethathasattractedthemostattention.Withthenet-zerop1edgeconstant1yca11ingformoremitigationactions,itwou1dbeimportanttounderstandtheeffectivenessofexistingmitigationpo1icies,andinparticu1ar,whethercurrentpo1iciesprovideadequateincentivestosteeragentsbehaviortowards1owercarbonemissions.Oneof

16、thechanne1sforpo1iciestoshapeagentsbehavioristhroughpriceadjustmentsinfinancia1markets.Assessingtheimpactofmitigationpo1iciesisparticu1ar1yre1evanttoCanada,whichisamongthewor1dstopcarbonemittersandfacesamajortransformationasthewor1dmovesawayfromfossi1fue1s.(GovernmentofCanada,2023;EnvironmentandC1imateChangeCanada,2023)Thegovernmentispushingforstrongerc