RT Journal Article
T1 Carbon dioxide risk exposure: Co2Risk
A1 García Jorcano, Laura
A1 Jiménez Martín, Juan Ángel
A1 Robles Fernández, María Dolores
AB The release of carbon dioxide into the atmosphere is the main driver of global warming and a threat that is becoming particularly important to the financial markets. The long-term, structural and systemic impact of global warming could damage the real economy and financial stability through different channels. This paper explores the co-movement between carbon price changes, as a short term indicator of global warming, and U.S. stock returns along the full conditional distribution of industry portfolios through a Carbon Dioxide Risk exposure measure, Co2Risk, inspired by the financial systemic risk literature. We find evidence of a sign-switching sensitivity at different quantiles, which implies that the uncertainty surrounding carbon risk seems to have an asymmetric impact on the industry conditional distributions. We find that drastic increases in carbon prices (positive changes in  emissions) reduce the risk exposure during bear markets, but increase it during bullish scenarios. We also find that large polluter sectors show greater sensitivity to changes in carbon emissions.
PB Elsevier
SN 2212-0963
YR 2022
FD 2022
LK https://hdl.handle.net/20.500.14352/71519
UL https://hdl.handle.net/20.500.14352/71519
LA eng
NO CRUE-CSIC (Acuerdos Transformativos 2022)
DS Docta Complutense
RD 11 may 2025