低炭素移行下の金融安定性：EUにおける気候移行リスク、エネルギー市場不確実性、システミック・ストレス
Financial Stability in the Low-Carbon Transition: Climate Transition Risk, Energy-Market Uncertainty, and Systemic Stress in the European Union (原題)
Godwin Olasehinde‐Williams, Seyi Saint Akadırı
🤖 gxceed AI 要約
日本語
EUを対象に2005〜2023年の週次データを用い、気候移行リスク（TRISK）、エネルギー市場リスク（ENR）、システミック金融ストレス（CISS）間の非線形・非対称な相互依存を分析。クロス分位相関・ウェーブレット・分位点回帰により、移行リスクと金融ストレスに高リスク状態で強まる正の関係を確認。エネルギーリスクも中・上位分位で持続的な正の関係を示す。移行リスクとエネルギーリスクの関係は短期で正、長期で負となる複雑な時間軸依存を示す。
English
Using weekly EU data (2005–2023), this study examines nonlinear, asymmetric interdependencies among climate transition risk (TRISK), energy-market risk (ENR), and systemic financial stress (CISS) via cross-quantilogram, wavelet cross-quantile correlation, and quantile-on-quantile regression. Transition risk shows a significant positive link to systemic stress that strengthens under elevated-risk states; energy risk is similarly persistent and asymmetric. The transition–energy relationship flips from positive short-run to negative long-horizon dependence, underscoring state- and horizon-dependent financial vulnerabilities and the need for transition stress testing.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
EUの気候移行リスクと金融安定の連関は、日本の金融庁・日銀が進める気候関連ストレステストや移行金融政策の設計に直接示唆を与える。SSBJ開示と移行計画の整合を図る日本企業・監督当局にとって、リスク顕在化の非線形性を踏まえた監督手法の参考になる。
In the global GX context
Directly informs global transition-finance supervision and climate stress-testing under TCFD/ISSB and the ECB's climate agenda, showing that transition risk amplifies systemic stress nonlinearly. It supports regulators designing predictable policy and transition stress tests to avoid tail-risk amplification while preserving low-carbon investment.
👥 読者別の含意
🔬研究者:気候移行リスクと金融ストレスの分位点・時間軸依存の実証手法と結果を、移行金融研究のベンチマークとして活用できる。
🏢実務担当者:移行リスクが高リスク局面で金融コスト・資本アクセスに増幅的に効く点を、シナリオ分析や移行計画策定に反映できる。
🏛政策担当者:気候政策の予見可能性と移行ストレステストの統合が、テールリスク抑制と秩序ある移行投資の両立に重要と示唆。
📄 Abstract（原文）
The transition towards a low-carbon economy creates important interactions among climate policy uncertainty, energy-market conditions, and financial stability. This study examines the nonlinear and asymmetric interdependencies among climate transition risk (TRISK), energy-market risk (ENR), and systemic financial stress (CISS) in the European Union (EU), using weekly data from July 1, 2005, to December 22, 2023. Three complementary approaches are employed: the Cross-Quantilogram, Wavelet Cross-Quantile Correlation, and quantile-on-quantile regression. Together, these methods capture directional dependence, state-dependent relationships, and their persistence across different time horizons. The results reveal a significant positive relationship between climate transition risk and systemic financial stress, with dependence strengthening markedly under elevated-risk conditions. Energy-market risk similarly exhibits a persistent and asymmetric positive relationship with systemic stress, particularly in the middle and upper quantiles. The relationship between transition and energy risks is more complex: positive dependence dominates in the short run, while negative dependence emerges at longer horizons and in some quantiles. This longer-horizon negative dependence indicates that the relationship between transition and energy risks changes across time horizons, but the empirical design does not identify the mechanism underlying this pattern. It may reflect several processes, including market adjustment, mean reversion in risk measures, or the unwinding of short-run risk premia. Overall, the findings demonstrate that financial vulnerabilities associated with the low-carbon transition are nonlinear, state-dependent, and sensitive to time horizons. The results underscore the importance of integrating environmental policy design with climate-related financial supervision, transition stress testing, energy resilience, and predictable policy implementation to limit financial tail-risk amplification while preserving the investment required for an orderly and economically resilient low-carbon transition.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1142/s1464333226500122first seen 2026-10-17 04:44:24
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