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The social cost of carbon under climate volatility risk
Lin, Xu; Wijnbergen, Sweder van - 2023
We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …
Persistent link: https://www.econbiz.de/10014290496
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Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices
Bredin, Don - 2014
This study examines carbon spot and futures price relationships and the dynamics of the carbon term structure in the European Union Emission Trading Scheme (ETS) between 2005-2012. Using spot and futures prices, we calculate an implied cost of carry. Using sequential futures prices, we calculate...
Persistent link: https://www.econbiz.de/10013049357
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Operational Framework for the Nexus of GDP, Energy, Emission, NDC, and Climate Policy : CO-STIRPAT System Dynamics
Jin, Ick - 2023
This paper presents an operational framework for assessing the trajectories of production, energy, emissions, and capital accumulation to ensure the implementation of Nationally Determined Contributions (NDCs). The framework combines widely used methodologies (STIRPAT, system dynamics, and...
Persistent link: https://www.econbiz.de/10014343827
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Climate Change Valuation Adjustment (CCVA) Using Parameterized Climate Change Impacts
Kenyon, Chris; Berrahoui, Mourad - 2021
We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on CVA+FVA that are currently invisible assuming typical market practice. To discuss such impacts on CVA+FVA from changes to instantaneous hazard rates we introduce a flexible and expressive...
Persistent link: https://www.econbiz.de/10013228946
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Investors' Climate Sentiment and Financial Markets
Santi, Caterina - 2021
We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...
Persistent link: https://www.econbiz.de/10013242744
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Climate Change News Risk and Corporate Bond Returns
Huynh, Thanh D. - 2020
We examine whether climate change news risk is priced in corporate bonds. We estimate bond covariance with climate change news index and find that bonds with a higher climate change news beta earn lower future returns, consistent with the asset pricing implications of demand for bonds with high...
Persistent link: https://www.econbiz.de/10012836848
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Climate risks and realized volatility of major commodity currency exchange rates
Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - 2022
Persistent link: https://www.econbiz.de/10012820396
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Climate risks and realized volatility of major commodity currency exchange rates
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 62 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014226734
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International tourism, exchange rate, and renewable energy : do they boost or burden efforts towards a low carbon economy in selected African countries?
Adjei-Mantey, Kwame; Adusah-Poku, Frank; Kwakwa, Paul Adjei - In: Cogent economics & finance 11 (2023) 2, pp. 1-19
Africa continues to suffer from the effects of climate change in many ways. Records show that the continent's carbon dioxide (CO2) emissions have seen tremendous upward adjustments over the past decades. While international tourism and renewable energy have been touted as sources of reducing CO2...
Persistent link: https://www.econbiz.de/10014503022
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Ask BERT: how regulatory disclosure of transition and physical climate risks affects the CDS term structure
Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - 2020
We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads, depending on whether disclosure reveals new risks or...
Persistent link: https://www.econbiz.de/10012487823