Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?
研究分析了温度、干旱、洪水等物理风险以及碳配额期货和信用违约互换反映的转型风险对欧洲股票和债券的影响，发现债券对气候风险更敏感，且绿色债券受益于物理风险。
This study explores how climate-related risk factors influence the European equity and fixed-income markets. We examine the effect of specific physical risk drivers, including temperature fluctuations, drought, floods, wind, and wildfire risk, on both stocks and bonds. Additionally, we assess the impact of transition risk using two potential indicators: the log-returns of futures on European Carbon Allowances and a Transition Risk Index derived from credit default spreads. We also compare them to see if they carry the same information. Our findings reveal that climate risk variables have different effects on stocks and bonds, with stock returns appearing mostly unaffected by climate-related variables. In contrast, bond z-spreads show significant statistical relationships with both physical and transition climate risks. Physical risk, on average, rewards the green bonds in the sample, and penalizes the traditional bonds. As for transition risk, the two proxies are shown to capture different types of information and to affect different bonds. This suggests that credit default swaps are pricing a transition risk that goes beyond carbon emissions.