IDEAS home Printed from https://ideas.repec.org/a/wly/envmet/v36y2025i3ne70012.html
   My bibliography  Save this article

From Climate Chat to Climate Shock: Non‐Linear Impacts of Transition Risk in Energy CDS Markets

Author

Listed:
  • Emanuele Campiglio
  • Luca De Angelis
  • Paolo Neri
  • Ginevra Scalisi

Abstract

It is still unclear to what extent transition risks are being internalized by financial investors. In this paper, we provide a novel investigation of the impact of media‐based measures of transition risks on the credit risk of energy companies, as measured by their credit default swaps (CDS) indices. We include both European and North American markets in the 2010–2020 period. Using linear and non‐linear local projections, we find that a transition risk shock affects CDS indices only when combined with tangible physical climate‐related impacts. We also find evidence of non‐linear cross‐border effects, with North American energy companies particularly affected by European dynamics. We suggest that the public reaction in the wake of severe climate‐related disasters, which might push policymakers to adopt more decisive climate action, contributes to making the transition‐related debate salient in the eyes of credit market actors.

Suggested Citation

  • Emanuele Campiglio & Luca De Angelis & Paolo Neri & Ginevra Scalisi, 2025. "From Climate Chat to Climate Shock: Non‐Linear Impacts of Transition Risk in Energy CDS Markets," Environmetrics, John Wiley & Sons, Ltd., vol. 36(3), April.
  • Handle: RePEc:wly:envmet:v:36:y:2025:i:3:n:e70012
    DOI: 10.1002/env.70012
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/env.70012
    Download Restriction: no

    File URL: https://libkey.io/10.1002/env.70012?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:envmet:v:36:y:2025:i:3:n:e70012. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1180-4009/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.