Economics at your fingertips  

Sea Level Rise Exposure and Municipal Bond Yields

Paul Goldsmith-Pinkham, Matthew T. Gustafson, Ryan C. Lewis and Michael Schwert

No 30660, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2022-11
New Economics Papers: this item is included in nep-env, nep-ifn and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published as Paul Goldsmith-Pinkham & Matthew T Gustafson & Ryan C Lewis & Michael Schwert & Gregor Matvos, 2023. "Sea-Level Rise Exposure and Municipal Bond Yields," The Review of Financial Studies, vol 36(11), pages 4588-4635.

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2024-05-03
Handle: RePEc:nbr:nberwo:30660