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Sea Level Rise Exposure and Municipal Bond Yields / Paul Goldsmith-Pinkham, Matthew T. Gustafson, Ryan C. Lewis, Michael Schwert.
- Format:
- Book
- Author/Creator:
- Goldsmith-Pinkham, Paul.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w30660.
- NBER working paper series no. w30660
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- Municipal bond markets begin 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 is not solely driven by near-term flood risk. We use a structural model of credit risk to quantify the implied economic impact and distinguish the effects of underlying asset values and uncertainty. The SLR exposure premium exhibits a different trend from house prices and is unaffected by house price controls. Taken together, our results highlight the importance of climate uncertainty in driving municipal bond prices.
- Notes:
- Print version record
- November 2022.
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