Carbon VIX: Carbon price uncertainty and decarbonization investments

• 成果类型: Article
• 署名作者: Fuchs, Maximilian; Stroebel, Johannes; Terstegge, Julian
• 署名单位: Copenhagen Business School; New York University; National Bureau of Economic Research; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104328
• 发表日期: 2026-09
• 页码: 104328
• 关键词: climate; Carbon pricing; emissions; uncertainty; investments; risk-premia; IMPACT; cost

摘要

We study the effects of carbon price uncertainty on firms' decisions to decarbonize their operations. We first use information on the pricing of options on emission allowances in the European Emissions Trading System to create the Carbon VIX, a market-based high-frequency measure of carbon price uncertainty. Carbon price uncertainty is high, varies substantially over time, and experiences persistent shocks around major climate policy events. To explore the effects of carbon price uncertainty on expected aggregate decarbonization investments, we analyze its effect on the stock returns of firms that help other businesses decarbonize. To identify these carbon solution providers, we extract common types of decarbonization investments from a large survey of firms, and then identify companies that offer the associated goods and services. We find that the stock returns of these carbon solution providers vary positively with carbon prices, but negatively with carbon price uncertainty. The effect of increases in carbon price uncertainty on our proxy for expected decarbonization investments is economically large and of similar magnitude as the effect of declines in carbon prices. These findings support predictions from real options theory that firms may delay investments in decarbonization when faced with uncertainty about the future costs of emissions.