中华人民共和国：金融部门评估计划气候风险分析技术说明

IMF Country Report No.25/303 PEOPLE’S REPUBLIC OF CHINA FINANCIAL SECTOR ASSESSMENT PROGRAM November2025 TECHNICAL NOTE ON CLIMATE RISK ANALYSIS This paperonthePeople’s republic of Chinawas prepared by a staff team of theInternational Monetary Fundas background documentation for the periodic consultation Copies of this report are available to the public from International Monetary Fund•Publication ServicesPO Box 92780•Washington, D.C. 20090Telephone: (202) 623-7430•Fax: (202) 623-7201E-mail:publications@imf.org Web:http://www.imf.org International Monetary Fund PEOPLE’S REPUBLIC OFCHINA FINANCIAL SECTOR ASSESSMENT PROGRAM TECHNICAL NOTE CLIMATE RISK ANALYSIS This Technical Note was prepared by IMF staff in thecontext of the Financial Sector Assessment Programfor the People’s Republic of China, overseen by theMonetary and Capital Markets Department,International Monetary Fund, and the Finance,Competitiveness & Innovation Global Practice, World Prepared By Monetary and Capital MarketsDepartment CONTENTS Glossary_____________________________________________________________________________________________4 EXECUTIVE SUMMARY____________________________________________________________________________5INTRODUCTION ___________________________________________________________________________________8TRANSITION RISK_________________________________________________________________________________9 A. Overview: Climate Policy Risks in China _________________________________________________________9B. Data and Modelling Framework_________________________________________________________________11 PHYSICAL RISK ___________________________________________________________________________________23 A. Overview: Physical Risks in China _______________________________________________________________23B. Modelling Framework ___________________________________________________________________________25C. Impact on Economic and Financial System______________________________________________________33D. Liquidity Risk: Illustrative Sensitivity Analysis ___________________________________________________39 CONCLUSIONS AND RECOMMENDATIONS____________________________________________________41 FIGURES 1. Overview of Transition Risks in China___________________________________________________________102. Transition Risk Analysis Framework_____________________________________________________________123. Heterogeneous Corporate Vulnerability Indicators Across Selected Sub-Sectors______________164. Transition Scenarios and Default Risks Across Selected Economic Sub-Sectors________________195. Impact on Banking Sector Under Different Transition Scenarios _______________________________216. Historical Occurrence of Physical Disasters and Temperature Projections Under ClimateScenarios in China ________________________________________________________________________________237. Regional GDP, Credit Exposures, and their Geo-Correlations __________________________________258. Physical Risk Analysis Framework_______________________________________________________________269. Severity of Climate Change and Potential Damages Across Provinces in China________________2810. Damage Functions for Floods and Cyclones __________________________________________________29 TABLE1. Recommendations on Climate Risk Analysis_____________________________________________________7 APPENDICESI. Transition Risk Analysis Additional Details ______________________________________________________43 II. Banking Sector Climate Risk Analysis Stress Testing Matrix (STeM) ____________________________48 References _________________________________________________________________________________________51 Glossary CRCurrent RatioD-SIBSDomestic- Systemically Important BanksE3MEEnergy-Environment-Economy Macro-EconometricEBITEarnings Before Interest and TaxesGDPGross Domestic ProductGHGGreenhouse Gas EmissionsGVAGross Value AddedICRInterest Coverage RatioIPCCIntergovernmental Panel on Climate ChangeLGDLoss Given DefaultLRLeverage Ratio EXECUTIVE SUMMARY China is exposed to both transition and physical risks from climate change. As a largegreenhouse gas emitter, China faces noticeable transition risks. Coal and oil dominate energy supplyamidst growing global momentum towards a low carbon greener economy where China also hasmade notable progress in green energy transition. China is also highly exposed to economic Transition risk analysis followed an integrated micro-macro approach with high sectoralgranularity (26 economic sub-sectors).In addition to a ‘current policies’ baseline scenario, theFSAP explored three different climate policy scenarios via a global macro-econometric model(E3ME): (i) ‘orderly’ (reflecting China’s planned energy efficiency program), (ii) ‘disorderly’ (includingaccelerated decarbonization in China), and (iii) ‘disorderly-global’ (incorporating accelerated The analysis points to non-trivial but manageable losses associated wit