Оценка влияния «углеродного» риска на российскую финансовую систему

Abstract

Global climate change and the transition of countries to a low-carbon model of the economy pose challenges for companies to quantify factors associated with climate risks. Incorrect risk assessment and companies' unwillingness to function in the new conditions can lead to large financial losses. Carbon pricing drives down the value of shares of carbon-intensive companies, forcing them to lower production volumes, which challenges investors who are increasingly concerned about climate change risks to assess climate risks in order to manage them in their portfolios. The aim of this article is to assess the impact of carbon risk on the Russian financial market, as well as to determine the presence of a premium for this risk, which is a compensation that investors can already currently demand for their exposure to carbon risk, using regression models and portfolio analysis methods. The assessments of the sensitivity of sectors of the Russian economy to carbon risk obtained by the authors indicate that all sectors are more or less exposed to the risk associated with the transition to a low-carbon economy. The largest contribution to the sensitivity of the Russian economy to this risk is made by enterprises in the oil and gas and energy industries. Companies in the consumer goods, healthcare and real estate sectors are the least risk sensitive. The authors did not find a statistically significant premium for the carbon risk for the Russian financial market, which is consistent with the data of other researchers about the absence of a similar premium in other regions of the world (USA, Europe and Asia). When interpreting the results, it should be taken into account that, due to the lack of data on the activities of Russian companies, the models were evaluated using factors that reflect trends in the global economy. Despite the fact that the estimates obtained so far do not take into account the regional characteristics of Russia, the approach used by the authors may be of interest to investors and researchers involved in the analysis of the situation in markets that also lack non-financial data on companies. The results obtained indicate that the transition to a low-carbon economy can have a significant impact on the activities of various industries, which confirms the importance of research in this direction. Already, international companies are actively setting themselves the goal of achieving full carbon neutrality by using renewable energy sources in the production of their products.