工作论文系列-气候挂钩债券

Climate-linked bonds Disclaimer:This paper should not be reported as representing the views of the European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract Climate-linked bonds, issued by governments and supranational organizations, are pivotal inadvancing towards a net-zero economy. These bonds adjust their payoffs based on climatevariables such as average temperature and greenhouse gas emissions, providing investors ahedge against long-term climate risks. They also signal government commitment to climateaction and incentivize stronger policies. The price differential between climate-linked bondsand nominal bonds reflects market expectations of climate risks.This paper introduces amodel of climate risk hedging and estimates that approximately three percent of governmentdebt in major economies could be converted into climate-linked bonds. JEL classification: E58, G12, G13, Q54 Keywords:climate-linked bonds, climate risk, contingent claims, asset pricing, green finance Non-technical summary Climate-linked bonds are an innovative financial tool designed to address the growing challengesof climate change.These bonds, ideally issued by governments and supranational organiza-tions, adjust their payouts based on measurable climate variables, such as average temperaturesor greenhouse gas (GHG) concentrations.By directly linking financial returns to climate out-comes, climate-linked bonds provide a strong incentive for issuers to align their actions withclimate change mitigation goals. The instrument not only signals a government’s commitmentto addressing climate risks but also offers investors a mechanism to hedge against the long-termeconomic consequences of climate change. This paper introduces an asset pricing model for climate-linked bonds, demonstrating thegrowing demand for these instruments amid anticipated long-term climate risks.We evaluatethe factors that facilitate risk-sharing and highlight how these bonds provide favorable terms tocounterparties willing to assume climate risks, while offering long-term hedging opportunities tothose seeking protection against such risks. For governments, climate-linked bonds offer an opportunity to integrate climate accountabil-ity into their fiscal frameworks. Because the financial cost of servicing these bonds goes down withbetter climate outcomes, their issuance incentivizes governments to adopt robust climate policiesto reduce emissions and mitigate long-term risks. Additionally, climate-linked bonds formalizethe implicit role of governments as insurers of last resort, providing a structured mechanism formanaging climate-related damages while enhancing fiscal predictability. At the same time, climate-linked bonds provide investors with long-term financial protectionagainst climate risks. Unlike alternative dynamic hedging strategies, which can be complex andcostly, climate-linked bonds offer a streamlined and efficient way to mitigate exposure to climateuncertainties. As their yields are less correlated with traditional market cycles, this also makesthem a valuable addition to long-term investment strategies. Furthermore, climate-linked bonds contribute to the resilience of the financial system by ad- dressing the “insurance gap,” the large portion of climate-related damages that remain uninsured.By providing a pre-emptive financial mechanism to manage these risks, climate-linked bonds re-duce reliance on ad-hoc government interventions and ensure a more systematic approach toaddressing the economic costs of climate change. In addition, the market-driven pricing mecha-nism of these bonds embeds climate risks into financial valuations, facilitating price discovery andhelping to establish a term structure for long-term climate risks. This feature thereby providesvaluable insights into how the market perceives climate challenges and the potential effectivenessof mitigation strategies. Despite their benefits, implementing climate-linked bonds comes with challenges. Designingbonds tied to clear and actionable climate metrics, such as GHG concentrations or temperatureanomalies, is critical to ensure their effectiveness and credibility.Standardizing these metricsacross countries and markets is equally important to foster a robust and liquid global marketfor climate-linked bonds.Additionally, international coordination is necessary to address theinherently global nature of climate change and ensure that the bonds incentivize collective actionrather than enabling free-riding. Market liquidity is another key consideration, as a liquid marketattracts diverse investors and allows the bonds to meet varying maturity needs, from short-termhedges for insurers to long-term instruments for pension funds. In summary, we argue that climate-linked bonds represent a critical innovation in embeddingclimate risk into economic and financial systems. By aligning financial incentives with climateaction, t