气候风险、公司债券和经济不确定性

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-09-19 DOI:10.1016/j.econlet.2024.111984

Vaibhav Lalwani

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引用次数: 0

摘要

我们检验了公司债券收益中是否存在气候变化风险。利用基于新闻文章文本分析的风险因素，我们估算了债券对气候变化新闻的敏感性。与全球变暖新闻高度共生的债券收益较低。我们还检验了经济政策的不确定性是否调节了债券收益与气候新闻风险之间的关系。在经济政策不确定性较高的时期，高气候风险债券的回报率较低。因此，在全球变暖风险高发期，尤其是经济不确定性高发期，投资者会增加对表现更好的债券的需求。

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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Climate risks, corporate bonds, and economic uncertainty

We test for the existence of climate change risks in corporate bond returns. Using risk factors based on textual analysis of news articles, we estimate the sensitivity of bonds to climate change news. Bonds that covary highly with global warming news earn lower returns. We also test whether economic policy uncertainty moderates the relationship between bond returns and climate news risk. The lower returns to high climate-risk bonds are driven by periods of high economic policy uncertainty. Therefore, investors increase their demand for bonds that perform better in periods of high global warming risks, especially when economic uncertainty is high.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.