Investigating the impact of climate-related risks: a regime-switching analysis of bond market dynamics and inflation expectations
使用马尔可夫转换向量自回归模型，发现气候相关风险对欧洲债券市场和通胀预期的影响高度依赖于波动率体制，其中转型风险在低波动期有轻微通缩效应，而物理风险在高波动期推高通胀、压低债券回报并加剧市场压力。
We examine how climate-related (transition and physical) risks impact European bond markets and inflation expectations, and identify their effects across distinct volatility regimes using a Markov-switching vector autoregression model. Our central finding is that the transmission of climate-related risk shocks is highly state-dependent and primarily affects short-term inflation expectations. Transition risks have a limited, disinflationary effect on short-term expectations, but only during low volatility periods. In sharp contrast, physical risks exert a destabilising, inflationary impact during high volatility periods, depressing bond returns and amplifying market stress. Additionally, we observe two more patterns: first, that long-term inflation expectations tend to remain largely anchored. Second, financial linkages and contagion tend to intensify in the high volatility state. Our findings matter for asset pricing and for monetary authorities. They support integrating climate-related risks into stability frameworks, as these shocks presumably intensify and complicate the trade-off between inflation-target credibility and financial stability.