Blasberg, Alexander; Kiesel, Ruediger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that … carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies … a low-carbon economy. Moreover, lenders demand more credit protection for those borrowers perceived to be more exposed …