Central bankers' speeches on climate change: what impact on stock markets?

Quand les banquiers centraux parlent du changement climatique: quel impact sur les marchés d'actions ?

Jérémy Morvan and Yann Régnard
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Jérémy Morvan: LEGO - Laboratoire d'Economie et de Gestion de l'Ouest - UBS - Université de Bretagne Sud - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris]
Yann Régnard: LEGO - Laboratoire d'Economie et de Gestion de l'Ouest - UBS - Université de Bretagne Sud - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris]

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Abstract: This research is an event study that measures the impact of central bankers' speeches on climate change on a set of equity indices. The results are numerous. Conventional indices do not react significantly, suggesting that investors keep reluctant to integrate the climate change in their information set. On the contrary, some climate indices react negatively. This reaction can be explained by cross-referencing abnormal returns with the main topics of the speeches highlighted by a textual analysis: climate change is widely described as a new risk, leading to a rise in the cost of capital and therefore a fall in prices.

Keywords: event study; textual analysis; Central banks; climate change; étude d'évènement; analyse textuelle; banque centrale; changement climatique (search for similar items in EconPapers)
Date: 2023-07-04
New Economics Papers: this item is included in nep-env
Note: View the original document on HAL open archive server: https://hal.science/hal-04347441v1
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Published in Summer Conference on Responsibility and Ethics in Business & Finance, Université Côte d’Azur, Nice GRM, IAE, Jul 2023, Nice, France

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