经济
衡平法
休克(循环)
压力测试
估价(财务)
债务
市场价值
股权价值
货币经济学
金融经济学
财务
外债
债务水平和流动
医学
内科学
法学
政治学
作者
Henk Reinders,Dirk Schoenmaker,Mathijs A. Van Dijk
标识
DOI:10.1016/j.jimonfin.2022.102797
摘要
There is increasing interest in assessing the impact of climate policies on the value of financial sector assets, and consequently on financial stability. Prior studies either take a “black box” macro-financial approach or focus solely on equity instruments – though banks’ exposures predominantly consist of debt. We develop a more tractable finance (valuation) approach at the industry-level and use a Merton contingent claims model to assess the impact of a carbon tax shock on the market value of equity and debt instruments. We calibrate our model using detailed firm level vulnerability data and apply the model to 2-digit sectoral exposures of Dutch banks. We find declines in the market value of banks’ assets of 2–13% of core capital for a €100 carbon tax shock, increasing to 6–29% for a €200 carbon tax shock.
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