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Exploration of credit risk contagion characteristics and mechanism under climate policy uncertainty

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  • Cheng, Zhengtao
  • Chen, Xinyi

Abstract

This paper investigates the impact of climate policy uncertainty (CPU) on the credit risk contagion effect of China’s industrial bond market based on the HD-TVP-VAR-BK method. The results show that the credit risk contagion effect and the important risk sources in the system have significant heterogeneity in different periods. CPU significantly promotes credit risk contagion in the short and medium term but exhibits a suppressive effect in the long term. Compared to the long term, geopolitical risks and investor sentiment amplify the impact of CPU on credit risk spread in the short term.

Suggested Citation

  • Cheng, Zhengtao & Chen, Xinyi, 2025. "Exploration of credit risk contagion characteristics and mechanism under climate policy uncertainty," Finance Research Letters, Elsevier, vol. 85(PB).
    • Handle: RePEc:eee:finlet:v:85:y:2025:i:pb:s1544612325012450
    DOI: 10.1016/j.frl.2025.107987
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    JEL classification:

    • B32 - Schools of Economic Thought and Methodology - - History of Economic Thought: Individuals - - - Obituaries
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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