The Impact of Climate Risks on Growth‐at‐Risk

This paper integrates climate risk into a growth‐at‐risk (GaR) framework to examine how climate transition and physical risks affect the distribution and downside tail of economic growth. Using city‐level panel data from 2008 to 2023, we find that both climate risks significantly raise downside growth risk across short, medium, and long horizons. The analysis further shows that these effects operate indirectly through total factor productivity and credit conditions, highlighting key transmission channels. Importantly, the development of green finance mitigates the adverse impact of climate risk, with higher levels of green finance weakening the propagation of climate shocks to economic downside risk. Our findings underscore the policy relevance of green finance, suggesting it can enhance economic resilience, support financial stability, and serve as an effective tool to manage climate‐related economic risks. This study provides empirical evidence for integrating climate considerations into macroprudential policy design and urban economic planning.