Front Matter Page
Monetary and Capital Markets Department
Contents
I. Introduction
A. Literature review
B. Data and variable construction
II. A Cross-Border Climate Shock Spillover Index
A. Exposures to global climate shocks
B. The global spillover index of climate shock exposures
III. Equity Returns and Foreign Climatic Disasters: Event Study
IV. Equity Returns and Foreign Climatic Disasters: Cross-Section Analysis
A. Tradability and the cross-border spillover of climatic disasters
B. Climatic disaster spillovers and the financial sector
V. Equity Pricing of Foreign Climate Change Physical Risk
VI. Conclusion
FIGURES
1. World trade-to-world GDP ratio
2. Exposures to global climate shocks for high/low home-country shock groups
3. The global spillover index of climate shock exposures
4. The spillover of upstream climatic disasters
5. The spillover of downstream climatic disasters
6. Non-major trade partner’s stock market does not respond to the disaster
TABLES
1. Sample economies
2(a). Concordance between the Datastream sectors and the ISIC sectors
2(b). Concordance between the WIOD 2016 release sectors and the aggregate sectors
3. Summary statistics
4. Cross-section analysis: Association between trading day 40’s sectoral cumulative abnormal return and the magnitude of the upstream climatic disaster
5. Cross-section analysis: Association between trading day 40’s sectoral cumulative abnormal return and the magnitude of the downstream climatic disaster
6. Cross-section analysis: Association between sector tradability and 40 trading day cumulative abnormal returns from foreign climatic disasters
7. Cross-section analysis: Association between country institutional factors and trading day 40’s cumulative abnormal returns from foreign climatic disasters in the financial sector
8. Association between exposures to foreign climate risks and the home-country P/E ratios