Using an ecological macrofinancial model, we explore the potential impact of the ‘green supporting factor’ (GSF) and the ‘dirty penalising factor’ (DPF) on climate-related financial risks. We identify the transmission channels by which these green differentiated capital requirements (GDCRs) can affect credit provision and loan spreads, and we analyse these channels within a dynamic framework in which climate and macrofinancial feedback effects play a key role. Our main findings are as follows. First, GDCRs can reduce the pace of global warming and decrease thereby the physical financial risks. This reduction is quantitatively small, but is enhanced when the GSF and the DPF are implemented simultaneously or in combination with green fiscal policies. Second, the DPF reduces banks’ credit provision and leverage, making them less fragile. Third, both the DPF and the GSF generate some transition risks: the GSF increases bank leverage because it boosts green credit and the DPF increases loan defaults since it reduces economic activity. These effects are small in quantitative terms and are attenuated when there is a simultaneous implementation of the DPF and the GSF. Fourth, fiscal policies that boost green investment amplify the transition risks of the GSF and reduce the transition risks of the DPF; the combination of green fiscal policy with the DPF is thereby a potentially effective climate policy mix from a financial stability point of view.

使用生态宏观金融模型，我们探讨了“绿色支持因子”（GSF）和“脏罚因子”（DPF）对与气候相关的金融风险的潜在影响。我们确定了这些绿色差异化资本要求（GDCR）可以影响信贷提供和贷款利差的传输渠道，并在一个动态框架中分析了这些渠道，在该框架中气候和宏观金融反馈效应起着关键作用。我们的主要发现如下。首先，GDCRs可以减少全球变暖的步伐，从而降低实际的财务风险。这种减少在数量上很小，但是当同时实施GSF和DPF或与绿色财政政策结合实施时，这种减少会增强。其次，公积金计划减少了银行的信贷准备金和杠杆，从而降低了它们的脆弱性。第三，DPF和GSF都产生一些过渡风险：GSF增加了银行杠杆，因为它增加了绿色信贷，DPF增加了贷款违约，因为它减少了经济活动。这些影响在数量上很小，并且在同时实施DPF和GSF时会减弱。第四，促进绿色投资的财政政策扩大了全球金融稳定框架的过渡风险，降低了DPF的过渡风险；从金融稳定的角度来看，绿色财政政策与DPF的结合是一种潜在有效的气候政策组合。这些影响在数量上很小，并且在同时实施DPF和GSF时会减弱。第四，促进绿色投资的财政政策扩大了全球金融稳定框架的过渡风险，降低了DPF的过渡风险；从金融稳定的角度来看，绿色财政政策与DPF的结合是一种潜在有效的气候政策组合。这些影响在数量上很小，并且在同时实施DPF和GSF时会减弱。第四，促进绿色投资的财政政策扩大了全球金融稳定框架的过渡风险，降低了DPF的过渡风险；从金融稳定的角度来看，绿色财政政策与DPF的结合是一种潜在有效的气候政策组合。