气候变化领域集成服务门户(CCPortal): Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market

CCPortal

DOI	10.1371/journal.pone.0295575
	Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market
	Jia, Kaiwei; Du, Yunqing
发表日期	2024
ISSN	1932-6203
起始页码	19
结束页码	3
卷号	19 期号:3
英文摘要	Climate change-induced pan-financial market and the contagion of systemic financial risks are becoming important issues in the financial sector. The paper measures the temperature difference in terms of the degree and direction of deviation of the actual temperature relative to the average temperature of the same historical period. Based on the high-dimensional time-series variable LASSO-VAR-DY framework, we construct a pan-financial market volatility correlation network consisting of 112 Chinese listed companies in banking, insurance, securities, real estate, traditional energy, and new energy, use eigenvector centrality to measure the systematic risk of each firm, and then empirically test the effect of temperature difference on systematic risk under pan-financial market scenario. The results of the study show that (i) There is a significant difference among the systemic risk of financial sectors such as banking, insurance, and securities in the financial market pan-financial market scenario and the systemic risk when the financial market pan-financial market is not taken into account;(ii) Higher temperature significantly exacerbates systemic financial risk, while colder temperature significantly mitigates systemic risk, but both have an asymmetric effect on systemic risk, and there is sectoral heterogeneity.(iii) From the dynamic evolutionary characteristics, there are significant differences in the response of systemic financial risk to positive and negative temperature shocks;(iv) The results of the systemic risk variance decomposition indicate that the temperature change contributes more to the variance of systemic risk in the banking and securities sectors in pan-financial market;(v) The contagion source of financial systemic risk shows an obvious path of leaping and changing characteristics, and the contagion source of systemic risk (source of impact) shows the evolution law of bank -> real estate -> new energy -> temperature difference, which means that the temperature difference has become the contagion source of systemic financial risk. This study provides a reference for preventing and resolving systemic risks under pan-financial market scenario and provides a basis for improving the current macroprudential regulatory framework.
语种	英语
WOS研究方向	Science & Technology - Other Topics
WOS类目	Multidisciplinary Sciences
WOS记录号	WOS:001190798000005
来源期刊	PLOS ONE
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/290762
作者单位	Liaoning Technical University
推荐引用方式 GB/T 7714	Jia, Kaiwei,Du, Yunqing. Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market[J],2024,19(3).
APA	Jia, Kaiwei,&Du, Yunqing.(2024).Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market.PLOS ONE,19(3).
MLA	Jia, Kaiwei,et al."Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China's pan-financial market".PLOS ONE 19.3(2024).