Climate Change Vulnerability and Currency Returns
利用气候变化物理风险指标，按国家脆弱性对货币对分组并构建组合，发现非G10货币脆弱性更高且随时间下降，脆弱性降低的货币组合有正超额回报，主要来自高脆弱性货币。
Using measures of physical risk from climate change, we develop a methodology to allocate currency pairs according to a country’s vulnerability and construct portfolios with decreasing vulnerability to physical risk. We show that non-G10 currencies are more vulnerable to physical risk, have become less vulnerable over time, and that the vulnerability measure is correlated with higher losses from natural disasters. Portfolios exposed to currencies with decreasing vulnerability have exhibited positive abnormal returns, with the abnormal return coming from currencies that have relatively high levels of vulnerability. These results exist in non-G10 currencies, while no relation is found within G10 currencies.