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Climate change poses severe systemic risks to the financial sector through multiple transmission channels. In this paper, we estimate the potential impact of different carbon taxes (€50, €100, €200 and €800 per ton of CO2) on the Italian banks’ default rates at the sector level in the...
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The economic effect of climate hazard events varies by time and by location. This paper investigates how climate shocks to local property markets spillover to capital markets. We also provide evidence of how forward-looking climate risk is capitalized into the public valuations of those property...
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This study investigates the capitalization of climate shocks in commercial real estate owned and operated by sophisticated investors. We focus on Hurricanes Harvey and Sandy to quantify the price impacts of climate shocks on commercial buildings in the U.S. We find clear evidence of a decline in...
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-related disasters – Hurricanes Harvey and Sandy – with longitudinal information on commercial mortgage performance, this paper … identifies the impact of climate risks on mortgage delinquency rates for commercial real estate mortgages. The results show that … both Harvey and Sandy led to elevated levels of commercial mortgage delinquency, with significant heterogeneity based on …
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