A climate risk hedge? Investigating the exposure of green and non-green corporate bonds to climate risk
研究了德国、法国和意大利最大经济体中绿色与非绿色公司债券对物理风险和转型风险的暴露差异，发现同一发行人的绿色债券可能比非绿色债券风险暴露更低，尤其可再生能源企业的绿色债券具有对冲作用。
We perform an in-depth analysis of climate risk in the corporate bond market, focusing on the green-bond issuers of the three largest European Union economies by GDP: Germany, France, and Italy. We do so by evaluating the impact, on the spreads of their green and non-green bonds, of a number of potential physical risk drivers, selected in line with the ECB climate stress tests and the extant literature, and through the fitting of ARIMAX models. Additionally, we include the log-returns of EU carbon allowances as a potential proxy of transition risk. We find that green and non-green bonds of the same issuer can differ in their exposure to the physical risk variables. Depending on the issuer, green bonds can be equally or less exposed than their non-green counterparts. Additionally, multiple firms in the renewable energy sector have green bonds which provide protection against physical risk. EU carbon allowances are not found to have a consistently significant impact on bond spreads. In line with these findings, we propose an extension of an intensity-based (reduced-form) credit risk model and assess its ability to describe and fit the bond data.