物理的気候リスクはインド金融セクターで価格付けされているか：2014〜2024年の月次指数アプローチ
Is physical climate risk priced in India’s financial sector? A monthly index approach, 2014–2024 (原題)
M. Maneesha, N. Saravanabhavan
🤖 gxceed AI 要約
日本語
インドの災害データから2014〜2024年の月次気候リスク指数（CRI）を構築し、金融セクター株価リターンとの関係を複数手法で検証した。平均効果・分布・構造変化・因果性のいずれの分析でも統計的に有意な価格付けは確認されず、下位中位分位の効果も単一の極端観測の除外で消失した。一方リターンがCRIを予測する関係が示され、両者がマクロ経済環境への共通エクスポージャーを反映している可能性を示唆する。
English
The authors build a monthly Climate Risk Index (CRI) from Indian disaster data (2014–2024) and test whether physical climate risk is reflected in financial-sector equity returns. Across average-effect, distribution, structural-break and causality tests, they find no significant pricing relationship; a lower-middle quantile effect vanishes when one extreme observation is excluded. Returns do predict subsequent CRI movements, suggesting shared exposure to broader economic conditions rather than reverse causation.
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
インドのRBI・SEBIによる気候開示義務が実際の市場価格に反映されているかを問う枠組みは、SSBJ基準の適用と有報・統合報告書での気候関連開示が進む日本にとっても、開示と価格付けの乖離を測る実務的示唆を持つ。
In the global GX context
The paper directly interrogates whether disclosure mandates translate into market pricing, a question central to ISSB/TCFD-aligned regimes and to emerging-market regulators designing climate disclosure. Its multi-method framework offers a replicable template for testing climate-risk pricing beyond advanced economies.
👥 読者別の含意
🔬研究者:新興国における物理的気候リスクの価格付けを、独自指数と複数手法で検証する実証デザインの参考になる。
🏢実務担当者:気候リスクが現状の市場評価に織り込まれていない可能性を踏まえ、投資家対応やリスク開示の説得材料として活用できる。
🏛政策担当者:開示義務が市場価格に結びついているかを検証する評価ツールとして、規制当局の政策効果測定に資する。
📄 Abstract（原文）
Floods, cyclones and heatwaves are no longer viewed as humanitarian crises; they also have significant financial implications by affecting borrowers’ ability to repay loans, increasing potential liabilities of insurers and influencing how investors assess and price financial risks. Whether financial markets actually respond to this physical climate risk remains an open question, particularly in emerging economies like India, where climate exposure is high but market-based evidence is scarce. This paper tests whether physical climate risk is reflected in the equity returns of India’s financial services sector, using a new monthly Climate Risk Index (CRI) constructed from disaster data spanning February 2014 to December 2024. Using multiple methods, average effect regression, distribution analysis, structural break test and causality tests, we find no statistically significant relationship between physical climate risk and financial returns. A concentrated effect at the lower-middle quantile of the return distribution does not survive exclusion of a single extreme observation, and a structural break detected around India’s 2022 climate-disclosure reforms is not specific to the climate-risk relationship itself. Financial-sector returns do, however, predict subsequent movements in the Climate Risk Index, suggesting shared exposure to broader economic conditions rather than a reverse-causal effect. These findings do not mean climate risk is unpriced in India’s financial system. They suggest instead that the current aggregate, monthly-level measurement may not be capturing where that pricing occurs. The study contributes a novel India-specific Climate Risk Index and a multi-method framework for testing climate-risk pricing, offering a tool that regulators such as the RBI and SEBI can use to assess whether disclosure mandates are translating into actual market pricing.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://www.frontiersin.org/journals/climate/articles/10.3389/fclim.2026.1950909/pdffirst seen 2026-10-21 05:29:58 · last seen 2026-11-06 05:42:25
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