Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market

Yusuf, Sanoh

Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market

Yusuf, Sanoh

Discussion Papers In Economics And Business, 2026, 26-08, 1-33

アクセス数:23件（2026-11-07 05:30 集計）

固定URL: https://hdl.handle.net/11094/106400

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タイトル	Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market
著者	著者名 Yusuf, Sanoh
キーワード等	Transition Risk
	Text Mining
	Japan GX Strategy
	Climate Finance
	SVAR
JEL分類コード (JEL)	G12
	Q54
	C32
	G14
	Q56
抄録	This paper quantifies transition finance risk in Japan using a text-mined index constructed from over 60,000 newspaper articles (2008–2025), combined with structural vector autoregression and firm-level local projections. Four findings emerge. First, transition risk shocks generate persistent equity effects, with prices declining for up to 18 months, while GDP and inflation responses remain statistically insignificant at all horizons. This suggests that transition risk operates primarily through discount rates and risk premia rather than contemporaneous real activity. Second, once economic policy uncertainty (EPU) is controlled for, average green–brown return differentials are economically small (−0.043 standard deviations) and remain statistically significant. Equivalence tests indicate these differentials are practically negligible ruling out monthly effects as small as 0.1% suggesting that estimates without EPU controls conflate general macroeconomic uncertainty with transition-specific effects. Third, transition risk exhibits state dependence. During elevated uncertainty, brown firms experience larger equity penalties (−4.12% versus −1.85%), a 123% amplification. Fourth, transition shocks display persistence and autonomous dynamics, consistent with an independent source of systematic financial risk rather than a proxy for conventional macroeconomic shocks. The amplification during high-uncertainty periods has implications for the macro-financial timing of climate policy.
出版者	Graduate School of Economics, The University of Osaka
収録物名	Discussion Papers In Economics And Business
巻(号)	26-08
ページ	1-33
刊行年月	2026-08
言語	英語
ハンドルURL	https://hdl.handle.net/11094/106400
関連情報 (references)	URI https://www2.econ.osaka-u.ac.jp/econ_society/dp/2608.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2026, 26-08, p. 1-33
DC.title	Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market
DC.creator	Yusuf, Sanoh
DC.publisher	Graduate School of Economics, The University of Osaka
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2026-08
DC.relation' scheme='DCTERMS.URI	https://www2.econ.osaka-u.ac.jp/econ_society/dp/2608.pdf
DC.subject	Transition Risk
	Text Mining
	Japan GX Strategy
	Climate Finance
	SVAR
DCTERMS.abstract	This paper quantifies transition finance risk in Japan using a text-mined index constructed from over 60,000 newspaper articles (2008–2025), combined with structural vector autoregression and firm-level local projections. Four findings emerge. First, transition risk shocks generate persistent equity effects, with prices declining for up to 18 months, while GDP and inflation responses remain statistically insignificant at all horizons. This suggests that transition risk operates primarily through discount rates and risk premia rather than contemporaneous real activity. Second, once economic policy uncertainty (EPU) is controlled for, average green–brown return differentials are economically small (−0.043 standard deviations) and remain statistically significant. Equivalence tests indicate these differentials are practically negligible ruling out monthly effects as small as 0.1% suggesting that estimates without EPU controls conflate general macroeconomic uncertainty with transition-specific effects. Third, transition risk exhibits state dependence. During elevated uncertainty, brown firms experience larger equity penalties (−4.12% versus −1.85%), a 123% amplification. Fourth, transition shocks display persistence and autonomous dynamics, consistent with an independent source of systematic financial risk rather than a proxy for conventional macroeconomic shocks. The amplification during high-uncertainty periods has implications for the macro-financial timing of climate policy.
DC.format	106400
citation_title	Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market
citation_author	Yusuf, Sanoh
citation_publisher	Graduate School of Economics, The University of Osaka
citation_language	英語
citation_date	2026-08
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	26-08
citation_firstpage	1
citation_lastpage	33
citation_public_url	https://hdl.handle.net/11094/106400
citation_abstract_html_url	https://www2.econ.osaka-u.ac.jp/econ_society/dp/2608.pdf

Climate Finance Transition Risk under Uncertainty : Text-Mining Evidence from the Japanese Equity Market

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