Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/338268 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
CESifo Working Paper No. 10016
Versionsangabe: 
This Version: August 2025
Verlag: 
Munich Society for the Promotion of Economic Research - CESifo GmbH, Munich
Zusammenfassung: 
Using Credit Default Swap spreads, we construct and validate a forward-looking, market-implied carbon risk (CR) factor that captures how lenders price firms' exposure to carbon regulation. The credit-risk impact of carbon regulation depends on its scope (breadth of coverage), stringency (share of emissions regulated), and the speed of mandated decarbonisation. Explicit carbon pricing sharpens lenders' evaluations of risk: for regulated firms, the cost of credit protection triples. This impact intensifies with a greater proportion of a firm's direct emissions subject to regulation and varies by sector. Upward shifts in the term-structure CR factor lead lenders to anticipate that most financial impacts will materialise in the near term, underscoring the potential abruptness of transition-related repricing.
Schlagwörter: 
carbon risk
climate change
climate finance
credit risk
transition risk
JEL: 
C21
C23
G12
G32
Q54
Dokumentart: 
Working Paper
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