股票市场气候风险的分解（英）

DecomposingClimateRisksinStockMarkets YuanchenYang,ChengyuHuang,YuchenZhang WP/23/141 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JUN ©2023InternationalMonetaryFundWP/23/141 IMFWorkingPaper WesternHemisphereDepartment DecomposingClimateRisksinStockMarketsPreparedbyYuanchenYang,ChengyuHuang,YuchenZhang AuthorizedfordistributionbyKoshyMathai June2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Climatechangeposesanunprecedentedchallengetotheworldeconomyandtheglobalfinancialsystem.Thispapersetsouttounderstandandquantifytheimpactofclimatemitigation,withafocuson climate-relatednews,whichrepresentsanimportantinformationsourcethatinvestorsusetorevisetheirsubjectiveassessmentsofclimaterisks.Usingfull-textdatafromFinancialTimesfromJanuary2005toMarch2022,wedevelopmachinelearning-basedindicatorstomeasurerisksfromclimatemitigation,andthedirectionoftheriskisidentifiedthroughmanuallabels.ThedocumentedriskpremiumindicatesthatclimatemitigationnewshasbeenpartiallypricedintheCanadianstockmarket.Morespecifically,stockpricesreactpositivelytomarket-wideclimate-favorablenewsbuttheydonotreactnegativelytoclimate-unfavorablenews.Theresultsarerobusttodifferentmodelspecificationsandacrossequitymarkets. RECOMMENDEDCITATION:Yang,Yuanchen,ChengyuHuang,andYuchenZhang,2023.DecomposingClimateRisksinStockMarkets.IMFWorkingPaperNo.23/141. JELClassificationNumbers: G11,G12,Q54 Keywords: ClimateMitigation;MachineLearning;AssetPricing Authors’E-MailAddress: yyang6@imf.org;chuang@imf.org;yzhang5@imf.org WORKINGPAPERS DecomposingClimateRisksinStockMarkets PreparedbyYuanchenYang,ChengyuHuang,YuchenZhang Contents 1.Introduction3 2.LiteratureReview6 3.MethodologyandData10 4.ResultsandDiscussion16 5.RobustnessChecks21 6.Conclusion26 References27 Appendix31 FIGURES Figure1.WordCloudofClimatePolicyKeywords11 Figure2.ResearchMethodologyFlowchart15 Figure3.IntensityofClimateNewsCoverage16 Figure4.IntensityofClimateFavorableandUnfavorableNews17 TABLES Table1.PricingofClimateNewsFactorinCanadianStockMarket18 Table2.PortfolioSortingAnalysisofCanadianStockMarket19 Table3.PricingofClimateNewsFactorintheUSStockMarket20 Table4.PricingofClimateNewsFactorintheEUStockMarket20 Table5.PricingofClimateNewsFactorUsingAlternativeAssetPricingModels21 Table6.PricingofClimateNewsFactorUsingAlternativeClimateRiskMeasures22 Table7.PricingofClimateNewsFactorUsingDifferentSortingStrategies22 Table8.PricingofClimateNewsFactor(Canada-specific)inCanadianStockMarket23 Table9.PricingofClimateNewsFactor(WithoutESG)inCanadianStockMarket24 Table10.PricingofAlternativeClimateNewsFactorinCanadianStockMarket25 1.Introduction Theworld’sclimateischanging.Thereisgeneralscientificconsensusthatincreasedgreenhousegasconcentrationsareattributabletohumanactivities(IPCC,2021).Theaverageglobalsurfacetemperaturecouldriseby3-6degreesCelsiusby2100withoutimmediateactiontoslowthepaceofglobalwarming(OECD,2021).Withincreasingglobalsurfacetemperature,thelikelihoodandintensityofnaturaldisasterswillalsoincrease. Climatechangeisanexistentialthreat.Whilecountriesbroadlyagreeonreachingnet-zeroemissionsbymid-centurytoavoidthemostadverseclimatechangescenarios,uncertaintiessurroundthetransitiontowardalow-carboneconomy.Ifgovernments,firms,andhouseholdsfailtochecktemperatureriseandmitigateclimatechange,disorderlyadjustmentsinassetpriceswouldoccur,withpossibledisruptiontotheproperfunctioningofthefinancialsystemandpotentialspilloverstoothersectorsoftheeconomy. Thispapersetsouttoexaminehowthemarketviewsandpricesclimatemitigationpolicies,withafocusontheCanadianeconomy.Itiswidelyrecognizedthatrisksofclimatechangescanbedividedintotwotypes:physicalrisksandtransitionrisks(IMF,2022).Theformerreferstotherisksstemmingfromsevereclimateevents,suchasfloods,droughts,wildfires,etc.,whereasthelatterresultsfrompolicychanges,technologicaladvances,andmarketshiftsintheprocessofadjustingtoalow-carboneconomy.Ofdifferenttypesoftransitionrisks,policychangeistheonethathasattractedthemostattention.Withthenet-zeropledgeconstantlycallingformoremitigationactions,itwouldbeimportanttounderstandtheeffectivenessofexistingmitigationpolicies,andinparticular,whethercurrentpoliciesprovideadequateincentivestosteeragents’behaviortowardslowercarbonemissions.Oneofthechannelsforpoliciestoshapeagents’behavioristhroughpriceadjustmentsinfinancialmarkets. AssessingtheimpactofmitigationpoliciesisparticularlyrelevanttoCanada,whichisamongtheworld’stopcarbonemittersandfacesamajortransformationastheworldmovesawayfromfossilfuels.(GovernmentofCanada,2020;EnvironmentandClimateChangeCanada,2022)Thegovernmentispushingforstrongerclimatepoliciesatboththefeder