Sea Level Rise and Municipal Bond Yields

By Paul Goldsmith-Pinkham, Matthew T. Gustafson, Ryan Lewis, Michael Schwert. Social Science Research Network, 2020

149 citations recorded by the source corpus.

We show that municipal bond markets began pricing sea level rise (SLR) exposure at the end of 2011, coinciding with upward revisions of SLR projections. The effect is present across maturities and is concentrated on the East and Gulf coasts, where storm risk is greatest. We apply a structural model of credit risk to show that municipal bond investors expect a one standard deviation increase in SLR exposure to correspond to a reduction of 3% to 8% in the present value or an increase of 2% to 4% in the volatility of the local government cash flows supporting debt repayment.

Subfields: Economics and Econometrics, Global and Planetary Change, Oceanography

View Paper: https://www.semanticscholar.org/paper/4dda8c4f9eb96ee49dbf4ccf2652d27c817b2979

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1. George Skiadopoulos
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Citations in the corpus

• Dissecting Climate Risks: Are they Reflected in Stock Prices? (2021, methodology): “(2020), Painter (2020), Bolton and Kacperczyk (2021a), Goldsmith-Pinkham et al. (2021)).(4) Second, instead of using the textual factor, we conduct the same asset pricing tests by constructing and using a narrative U.S. climate-policy factor; we obtain the latter by performing a narrative analysis o”
• Climate Change News Risk and Corporate Bond Returns (2020, unknown): “At the same time, the prices of short-term bonds are also affected by hedging demands, which is consistent with the results of Goldsmith-Pinkham et al. (2020).”