Econ Papers Daily / 期刊论文
气候监管风险与公司债券
Climate regulatory risks and corporate bonds
摘要
Concerns about climate risk suggest it should affect risk assessment and pricing of corporate securities, particularly for firms facing potential regulatory restrictions. Employing a shock to expected climate regulations, we find support for this hypothesis given our evidence that climate regulatory risks causally affect bond credit ratings and yield spreads. Moreover, a structural credit model indicates the increased spreads for high carbon issuers, especially those located in stricter regulatory environments, derive from changes in firms’ asset volatilities rather than asset values, highlighting that regulatory uncertainty affects security pricing. The results have important implications for corporate decisions, portfolio management, and policymaking.
中文摘要
对气候风险的担忧表明，它应影响企业证券的风险评估与定价，尤其是对面临潜在监管限制的企业而言。借助对预期气候监管的一次冲击，我们为这一假说找到了支持，证据显示气候监管风险会因果性地影响债券信用评级和收益率利差。此外，一个结构化信用模型表明，高碳发行人的利差上升——尤其是位于更严格监管环境中的发行人——源于企业资产波动率的变化，而非资产价值的变化，这凸显出监管不确定性会影响证券定价。这些结果对企业决策、投资组合管理和政策制定具有重要意义。