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物理环境风险,投资者注意力和金融系统风险之间的非线性关系:来自mLSTM-CoVaR网络的证据
1School of Economics and Management, Beihang University, Beijing, China.
Journal of environmental management
|January 14, 2025
概括
物理环境风险显著增加了金融系统风险,特别是在重大全球事件期间. 在正常市场条件下,投资者关注会放大这种影响,影响银行稳定.
科学领域:
- 环境金融 环境金融
- 金融风险管理 金融风险管理
- 计量经济学 计量经济学
背景情况:
- 物理环境风险对金融市场构成越来越大的威胁.
- 了解系统风险的传播道对于金融稳定至关重要.
- 现有的框架往往忽视了环境因素和市场行为之间的动态相互作用.
研究的目的:
- 量化物理环境风险对金融市场系统风险的影响.
- 调查环境风险与银行系统风险之间的非线性关系.
- 探索投资者注意力在这种关系中的调节作用.
主要方法:
- 利用遥感数据来测量物理环境风险.
- 扩展了有条件风险价值 (CoVaR) 框架,用于时间变化的CoVaRs的量子-mLSTM算法.
- 采用了时间变化的部分衍生品和一个面板量子对量子模型.
主要成果:
- 在COVID-19大流行和俄罗斯-乌克兰冲突期间,系统性风险 (CoVaR) 显著增加.
- 在以色列 - 哈马斯冲突期间没有观察到显著的CovAr增加.
- 存在非线性关系,较高的环境风险通常会增加系统性风险.
- 在正常的市场条件下,投资者的注意力放大了环境风险对系统风险的影响.
结论:
- 物理环境风险是金融系统风险的一个重要驱动因素.
- 投资者情绪在放大环境风险对金融稳定影响方面发挥着关键作用.
- 这些发现强调了对环境和金融风险管理的综合方法的需要.
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