Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index

Ramos-García, Daniel, López-Martín, Carmen y Arguedas-Sanz, Raquel . (2023) Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index. Empirical Economics, 85(5), 2023

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Título Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index
Autor(es) Ramos-García, Daniel
López-Martín, Carmen
Arguedas-Sanz, Raquel
Materia(s) Economía
Abstract This paper assesses whether a climate factor is relevant to measure default risk in a sample of main companies listed on the STOXX Europe 600 exchange from 2010 to 2020. The starting point is a factorial panel datamodel which is subsequently modified to capture the climate impact through different functional forms.We find that relevant differences in default risk exist before and after the Paris Agreement. Our analysis also indicates that this difference cannot be explained by means of traditional financial factors. Finally, we further show that a climate change risk and opportunities label is a significant factor in evaluating credit risk, both prior to and post-Paris agreement. These results are important to the extent that they suggest that companies’ market performance itself allows to measure differences in credit risk between companies and to link them with climate risk factors. This approach may be useful as a complement or in combination with the traditional use of exogenous climate factors that have been widely used in the literature in this field.
Palabras clave credit risk
climate risk
distance to default
transition risk
Editor(es) Springer
Fecha 2023-04-10
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0003
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0003
DOI - identifier https://doi.org/10.1007/s00181-023-02416-8
ISSN - identifier 1435-8921
Nombre de la revista Empirical Economics
Número de Volumen 65
Número de Issue 5
Página inicial 2091
Página final 2114
Publicado en la Revista Empirical Economics, 85(5), 2023
Idioma eng
Versión de la publicación acceptedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The published version of this article, first published in Empirical Economics, is available online at the publisher's website: Springer, https://doi.org/10.1007/s00181-023-02416-8
Notas adicionales La versión publicada de este artículo, publicado por primera vez en Empirical Economics, está disponible en línea en el sitio web del editor: Springer, https://doi.org/10.1007/s00181-023-02416-8

 
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Creado: Wed, 29 Nov 2023, 21:08:29 CET