RT Journal Article
T1 Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps
A1 Ugolini, Andrea
A1 Reboredo Nogueira, Juan Carlos
A1 Ojea Ferreiro, Javier
K1 Climate transition risk
K1 CDS spreads
K1 Credit risk
AB We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of European firms. Using information on the vulnerability of a firm’s value to the transition to a low-carbon economy, we construct a climate transition risk (CTR) factor, and report how this factor shifts the term structure of the CDS spreads of more but not of less vulnerable firms. Considering the CTR factor, we find that different climate transition policies have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on less vulnerable firms
PB Elsevier
SN 0275-5319
YR 2024
FD 2024-04-15
LK http://hdl.handle.net/10347/34963
UL http://hdl.handle.net/10347/34963
LA eng
NO Research in International Business and Finance 70 Part B (2024) 102372
NO This research project was funded by the Agencia Estatal de Investigación (Ministerio de Ciencia, Innovación y Universidades) under research project with reference PID2021-124336OB-I00 co-funded by the European Regional Development Fund (ERDF/FEDER), and by Xunta de Galicia through the project “Consolidación e Estructuración 2023 GRC GI-2060 - Análise Económica dos Mercados e Institucións - AEMI (ED431C2023/05)
DS Minerva
RD 28 abr 2026