IMF-股票市场气候风险的分解（英）-2023.6-34页.docx

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IMF-股票市场气候风险的分解（英）-2023.6-34页.docx

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Thearticleinvestigatesclimaterelatednews,whichprovidesanimportantinformationsourceforinvestorstorevisetheirsubjectiveassessmentsofclimaterisksMachinelearningbasedindicatorsaredevelopedtomeasurerisksfromclimatemitigat

DecomposingClimateRisksinStockMarkets

YuanchenYang,ChengyuHuang,YuchenZhang

WP/23/141

IMFWorkingPapersdescriberesearchin

progressbytheauthor(s)andarepublishedto

elicitcommentsandtoencouragedebate.

TheviewsexpressedinIMFWorkingPapersare

thoseoftheauthor(s)anddonotnecessarily

representtheviewsoftheIMF,itsExecutiveBoard,

orIMFmanagement.

2023

JUN

NAr

*“TheauthorswouldliketothankKoshyMathai,PierpaoloGrippa,TannousKass-Hanna,LiamMasterson,LucyLiu,Augustus

Panton,DivyaKirti,HenkJanReinders,andparticipantsattheCanada2022ArticleIVAnalyticalSeminarforcomments,andJerryChavesforresearchinputs.

?2023InternationalMonetaryFund

WP/23/141

IMFWorkingPaper

WesternHemisphereDepartment

DecomposingClimateRisksinStockMarkets

PreparedbyYuanchenYang,ChengyuHuang,YuchenZhang

AuthorizedfordistributionbyKoshyMathai

June2023

IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicit

commentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseofthe

author(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

ABSTRACT:Climatechangeposesanunprecedentedchallengetotheworldeconomyandtheglobalfinancialsystem.Thispapersetsouttounderstandandquantifytheimpactofclimatemitigation,withafocuson

climate-relatednews,whichrepresentsanimportantinformationsourcethatinvestorsusetorevisetheir

subjectiveassessmentsofclimaterisks.Usingfull-textdatafromFinancialTimesfromJanuary2005toMarch2022,wedevelopmachinelearning-basedindicatorstomeasurerisksfromclimatemitigation,andthedirectionoftheriskisidentifiedthroughmanuallabels.ThedocumentedriskpremiumindicatesthatclimatemitigationnewshasbeenpartiallypricedintheCanadianstockmarket.Morespecifically,stockpricesreactpositivelytomarket-