The low-carbon transition, climate commitments and firm credit risk

Arbeitspapier

This paper explores how the need to transition to a low-carbon economy influences credit risk. It develops a novel dataset covering firms' greenhouse gas emissions over time alongside information on strategies for managing transition risk, including climate disclosure practices and forward-looking emission reduction targets. It assesses how such metrics influence firms' credit ratings and their market-implied distance-to-default. High emissions tend to be associated with higher credit risk. But disclosing emissions and setting emission reduction targets are associated with lower credit risk, with the effect somewhat stronger for more ambitious climate commitments. After the Paris agreement, firms most exposed to transition risk also saw their ratings deteriorate relative to otherwise comparable firms, with the effect larger for European than US firms, probably reflecting differential climate policy expectations. These results have policy implications for corporate disclosures and strategies around climate change, and the treatment of climate-related transition risk in the financial sector

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Sveriges Riksbank Working Paper Series ; No. 409

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Econometrics ; Central Banks and Their Policies ; Portfolio Choice; Investment Decisions ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Valuation of Environmental Effects ; Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
• Thema: climate change ; transition risk ; disclosure ; net zero ; green finance ; credit risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Carbone, Sante ; Giuzio, Margherita ; Kapadia, Sujit ; Krämer, Johannes Sebastian ; Nyholm, Ken ; Vozian, Katia
• Ereignis: Veröffentlichung
• (wer): Sveriges Riksbank
• (wo): Stockholm
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/251307
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ