全球智库信息集成服务系统(G2TT): DP17516 Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP17516
	DP17516 Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress
	Viral Acharya; Timothy Johnson; Suresh Sundaresan; Tuomas Tomunen
发表日期	2022-07-30
出版年	2022
语种	英语
摘要	We exploit regional variations in exposure to heat stress to study if physical climate risk is priced in municipal and corporate bonds as well as in equity markets. We find that local exposure to damages related to heat stress equaling 1% of GDP is associated with municipal bond yield spreads that are higher by around 15 basis points per annum (bps), the effect being larger for longer-term, revenue-only and lower-rated bonds, and arising mainly from the expected increase in energy expenditures and decrease in labor productivity. Among S&P 500 companies, one standard deviation increase in exposure to heat stress is associated with yield spreads that are higher by around 40 bps for sub-investment grade corporate bonds, with little effect for investment grade bond spreads, and with conditional expected returns on stocks that are higher by around 45 bps. These results are (i) observed robustly only starting in 2013–15, (ii) mostly absent for physical risks other than exposure to heat stress, and (iii) consistent with the class of macroeconomic models where climate change has a direct and large negative impact on aggregate consumption.
主题	Financial Economics
关键词	Climate change Global warming Corporate bonds Municipal bonds Credit risk Equity risk premium
URL	https://cepr.org/publications/dp17516
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/546600
推荐引用方式 GB/T 7714	Viral Acharya,Timothy Johnson,Suresh Sundaresan,et al. DP17516 Is Physical Climate Risk Priced? Evidence from Regional Variation in Exposure to Heat Stress. 2022.