Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273161 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 04.2023
Publisher: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Abstract: 
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using information on the vulnerability of a firm's value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor shifts the term structure of the CDS spreads of more vulnerable firms but not of less vulnerable firms. Considering the impact of different climate transition policies on the CTR factor, we find that they have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on the remaining firms.
Subjects: 
Climate transition risk
CDS spreads
credit risk
JEL: 
C24
G12
G32
Q54
Document Type: 
Working Paper

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