Sea-Level Rise Exposure and Municipal Bond Yields

• 成果类型: Article
• 署名作者: Goldsmith-Pinkham, Paul; Gustafson, Matthew T.; Lewis, Ryan C.; Schwert, Michael
• 署名单位: Yale University; National Bureau of Economic Research; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Colorado System; University of Colorado Boulder
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad041
• 发表日期: 2023
• 页码: 4588
• 关键词: STRUCTURAL MODELS; BORROWING COSTS; CLIMATE-CHANGE; state; shocks

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