Heterogeneous Effects of Climate Risk on Risk Spillovers in China’s Banking Sector

Zhili Zhang ()
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Zhili Zhang: Shanghai Maritime University

A chapter in Proceedings of the 2026 6th International Conference on Enterprise Management and Economic Development (ICEMED 2026), 2026, pp 360-368 from Springer

Abstract: Abstract This study examines climate-risk transmission through China’s banking sector using a daily-frequency panel of 1,231 trading days for 36 A-share listed banks (2020–2025). A Diebold–Yilmaz spillover network extracts system-wide and sector-level connectedness, while Granger causality tests and orthogonalized VAR impulse responses trace short-run causal channels of the Climate Policy Uncertainty index (CCPU) and a Natural Disasters news index. Key findings: (1) neither risk type elevates aggregate systemic spillovers; (2) CCPU shocks display a “dumbbell-shaped” heterogeneity—state-owned and rural banks are highly sensitive (p = 0.0007), joint-stock banks immune; (3) physical-risk pathways mirror-reverse this pattern. Rural banks constitute the sole “resonance node” significant under both risk types.

Keywords: climate risk; banking sector risk spillover; Diebold–Yilmaz network model; Granger causality; impulse response function; cross-sectoral heterogeneity (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6239-719-4_41

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DOI: 10.2991/978-94-6239-719-4_41

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