An analysis of climate change risk impact on the shape of yield curves
Capra, Giulia (A.A. 2020/2021) An analysis of climate change risk impact on the shape of yield curves. Tesi di Laurea in Advanced financial economics, Luiss Guido Carli, relatore Paolo Porchia, pp. 63. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Literature review. Macroeconomic impacts of climate change. Financial stability impacts of climate change. Climate change and sovereign bonds. Data. Zero-coupon yield curves. Climate change news indices. The model. The FAVAR framework. Econometric model. Estimation strategy. Results. Estimation of talent factors and FAVAR parameters. Model performance. Importance of climate global factors in the estimation.
References
Bibliografia: pp. 42-44.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Advanced financial economics |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Canofari, Paolo |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 23 Mar 2022 11:45 |
| Last Modified: | 23 Mar 2022 11:45 |
| URI: | https://tesi.luiss.it/id/eprint/31804 |
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