Sea-Level Rise Exposure and Municipal Bond Yields

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-05-08 DOI:10.1093/rfs/hhad041

Paul Goldsmith-Pinkham, Matthew T Gustafson, Ryan C Lewis, Michael Schwert

引用次数: 7

Abstract

Abstract Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013, coinciding with upward revisions to worst-case SLR projections and accompanying uncertainty around these projections. The effect is larger for long-maturity bonds and not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish between the effects of underlying asset values and of uncertainty. The SLR exposure premium exhibits a trend different from house prices and is unaffected by house price controls. Together, our results highlight the importance of climate uncertainty in driving municipal bond prices. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online

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海平面上升风险敞口和市政债券收益率

市政债券市场从2013年开始定价海平面上升(SLR)风险，与此同时，对最坏情况的SLR预测进行了上调，并伴随着这些预测的不确定性。对长期债券的影响更大，而且不仅仅是受近期洪水风险的影响。我们使用信用风险的结构模型来量化隐含的经济影响，并区分潜在资产价值和不确定性的影响。单反曝光溢价表现出与房价不同的趋势，不受房价调控的影响。总之，我们的研究结果突出了气候不确定性在推动市政债券价格方面的重要性。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.