Sea-Level Rise Exposure and Municipal Bond Yields

被引：33

作者：

Goldsmith-Pinkham, Paul ^{[1
,2
]}

Gustafson, Matthew T. ^{[3
]}

Lewis, Ryan C. ^{[4
]}

Schwert, Michael ^{[5
]}

机构：

[1] Yale Univ, New Haven, CT 06520 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Penn State Univ, State Coll, PA USA

[4] Univ Colorado, Boulder, CO USA

[5] AQR Arbitrage LLC, Greenwich, CT USA

来源：

REVIEW OF FINANCIAL STUDIES | 2023年 / 36卷 / 11期

关键词：

G1; Q54; STRUCTURAL MODELS; BORROWING COSTS; CLIMATE-CHANGE; STATE; SHOCKS;

D O I：

10.1093/rfs/hhad041

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Municipal bond markets began pricing sea-level rise (SLR) exposure risk in 2013, coinciding with upward revisions to worst-case SLR projections and accompanying uncertainty around these projections. The effect is larger for long-maturity bonds and not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish between the effects of underlying asset values and of uncertainty. The SLR exposure premium exhibits a trend different from house prices and is unaffected by house price controls. Together, our results highlight the importance of climate uncertainty in driving municipal bond prices. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online

引用

页码：4588 / 4635

页数：48

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