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Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

Persistent link: https://www.econbiz.de/10013417581

The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

Persistent link: https://www.econbiz.de/10014290496

Temperature Volatility Risk

Donadelli, Michael - 2019

We produce novel empirical evidence on the relevance of temperature volatility shocks for the dynamics of macro … volatility and the macroeconomy varies over time. First, the sign of the causality from temperature volatility to TFP growth is …) period temperature volatility shocks positively (negatively) affect TFP growth. In the post-1950 period, temperature …

Persistent link: https://www.econbiz.de/10012892874

Pricing Climate Change Risks : CAPM with Rare Disasters and Stochastic Probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate …

Persistent link: https://www.econbiz.de/10014108526

Pricing climate change risks : CAPM with rare disasters and stochastic probabilities

Karydas, Christos; Xepapadeas, Anastasios - 2019

premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate change …

Persistent link: https://www.econbiz.de/10011962146

How should the distant future be discounted when discount rates are uncertain?

Gollier, Christian; Weitzman, Martin L. - 2009

It is not immediately clear how to discount distant-future events, like climate change, when the distant-future discount rate itself is uncertain. The so-called "Weitzman-Gollier puzzle" is the fact that two seemingly symmetric and equally plausible ways of dealing with uncertain future discount...

Persistent link: https://www.econbiz.de/10003910677

How Should the Distant Future Be Discounted When Discount Rates are Uncertain?

Gollier, Christian; Weitzman, Martin L. - 2021

It is not immediately clear how to discount distant-future events, like climate change, when the distant-future discount rate itself is uncertain. The so-called “Weitzman-Gollier puzzle” is the fact that two seemingly symmetric and equally plausible ways of dealing with uncertain future...

Persistent link: https://www.econbiz.de/10013316287

Climate-linked bonds

Broeders, Dirk; Dimitrov, Daniel; Verhoeven, Niek - 2025

Climate-linked bonds, issued by governments and supranational organizations, are pivotal in advancing towards a net-zero economy. These bonds adjust their payoffs based on climate variables such as average temperature and greenhouse gas emissions, providing investors a hedge against long-term...

Persistent link: https://www.econbiz.de/10015181854

This Changes Everything : Climate Shocks and Sovereign Bonds

Cevik, Serhan - 2020

Climate change is already a systemic risk to the global economy. While there is a large body of literature documenting potential economic consequences, there is scarce research on the link between climate change and sovereign risk. This paper therefore investigates the impact of climate change...

Persistent link: https://www.econbiz.de/10012828232

Investors' Climate Sentiment and Financial Markets

Santi, Caterina - 2021

We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...

Persistent link: https://www.econbiz.de/10013242744