Measuring climate-credit risk relationship using world input-output tables

Henry Penikas and Ekaterina E. Vasilyeva ()
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Ekaterina E. Vasilyeva: P. N. Lebedev Physical Institute of the Russian Academy of Sciences, Moscow, Russia

Russian Journal of Economics, 2023, vol. 9, issue 1, 93-108

Abstract: The Basel Committee recommended the use of input-output tables to properly measure climate risks. However, the majority of previous studies only limits the use of input-output tables to carbon emissions and this is not applied in climate risk ratings. The existing climate (E) risk ratings (scores) was modified or transformed from Sustainalytics to the full climate risk scores using input-output tables. Positive relationship between credit risks and the full climate risk estimates at the industry level was identified, and this justifies the interest rate discount granted to firms in the green industries. Thus, for the purpose of lending the full degree of greenness derived from input-output tables should be considered, not substituting this by the easily observable and publicly available marginal climate risk ratings like those provided by Sustainalytics.

Keywords: climate; risk; input-output; tables; WIOD; Poisson; regression; ESG. (search for similar items in EconPapers)
JEL-codes: C4 C5 Q54 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:arh:jrujec:v:9:y:2023:i:1:p:93-108

DOI: 10.32609/j.ruje.9.83891

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