Can Variations in Temperature Explain the Systemic Risk of European Firms?
使用ΔCoVaR模型，基于1990-2017年STOXX Europe 600指数公司数据，发现温度波动显著影响系统性风险，高温冲击增加风险，且呈倒U型非线性关系。
Abstract We employ a $$\varDelta CoVaR$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>Δ</mml:mi><mml:mi>C</mml:mi><mml:mi>o</mml:mi><mml:mi>V</mml:mi><mml:mi>a</mml:mi><mml:mi>R</mml:mi></mml:mrow></mml:math> model in order to measure the potential impact of temperature fluctuations on systemic risk, considering all companies from the STOXX Europe 600 Index, which covers a wide range of industries for the period from 1/1/1990 to 29/12/2017. Furthermore, in this study, we decompose temperature into 3 factors; namely (1) trend, (2) seasonality and (3) anomaly. Findings suggest that, temperature has indeed a significant impact on systemic risk. In fact, we provide significant evidence of either positive or nonlinear temperature effects on financial markets, while the nonlinear relationship between temperature and systemic risk follows an inverted U-shaped curve. In addition, hot temperature shocks strongly increase systemic risk, while we do witness the opposite for cold shocks. Additional analysis shows that deviations of temperature by $$1\,^{\circ }\hbox {C}$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mn>1</mml:mn><mml:msup><mml:mspace/><mml:mo>∘</mml:mo></mml:msup><mml:mtext>C</mml:mtext></mml:mrow></mml:math> can increase the daily Value at Risk by up to 0.24 basis points. Overall, higher temperatures are highly detrimental for the financial system. Results remain robust under the different proxies that were employed to capture systemic risk or temperature.