Baseline regressions: Climate change and systemic risk.
| Panel A: Sea level rise | ||||
|---|---|---|---|---|
| (1) MESt+1 | (2) MESt+1 | (3) ACoVart+1 | (4) ACoVart+1 | |
| Sea level rise | 0.0043** (2.23) | 0.0035* (1.82) | 0.0007*** (3.81) | 0.0005*** (2.93) |
| Ln(Assets) | -0.0460*** (-7.98) | -0.0479*** (-8.24) | -0.0020*** (-3.64) | -0.0022*** (-3.99) |
| Ln(Assets)2 | 0.0015*** (7.82) | 0.0015*** (7.99) | 0.0001*** (3.72) | 0.0001*** (3.90) |
| Bank Capital | -0.1351*** (-8.34) | -0.1430*** (-8.72) | -0.0074*** (-3.72) | -0.0075** (-4.00) |
| Profitability (ROA) | -1.8493*** (-24.25) | -1.0753*** (-11.52) | -0.0877** (-10.84) | -0.0202** (-1.99) |
| Loan-to-Assets | 0.0431*** (9.30) | 0.0368*** (7.65) | 0.0050*** (9.40) | 0.0046*** (8.94) |
| Loan Growth | -0.0309*** (-8.17) | -0.0228*** (-6.27) | -0.0033*** (-7.04) | -0.0021** (-4.82) |
| Loan Loss Provisions-to-Assets | 1.5796***(13.29) | 0.1499*** (10.32) | ||
| Liquidity-to-Assets | -0.0257** (-2.43) | -0.0052*** (-5.18) | ||
| Deposit-to-Assets | -0.0027 (-0.66) | -0.0019*** (-4.35) | ||
| Non-interest income-to-Assets | 0.1327*** (2.61) | 0.0197*** (3.42) | ||
| Firm fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Cluster by firm | Yes | Yes | Yes | Yes |
| Observations | 36854 | 36820 | 36854 | 36820 |
| Adjusted R2 | 0.3567 | 0.3706 | 0.8671 | 0.8694 |
| Panel B: Environmental and climate policy uncertainty | ||||
| (1) MESt+1 | (2) MESt+1 | (3) ACoVart+1 | (4) ACoVart+1 | |
| Environmental and climate policy uncertainty | 0.0212***(28.55) | 0.0210***(28.30) | 0.0016*** (18.69) | 0.0016*** (19.09) |
| Ln(Assets) | -0.0592***(-10.14) | -0.0607*** (-10.60) | -0.0030*** (-5.30) | -0.0032*** (-5.81) |
| Ln(Assets)2 | 0.0017***(9.02) | 0.0018*** (9.35) | 0.0001*** (4.67) | 0.0001***(4.94) |
| Bank Capital | -0.1634***(-10.06) | -0.1652*** (-10.29) | -0.0098*** (-4.65) | -0.0094*** (-4.77) |
| Profitability (ROA) | -1.4030***(-19.45) | -0.7508***(-8.73) | -0.0533*** (-6.99) | 0.0051 (0.51) |
| Loan-to-Assets | 0.0365*** (8.09) | 0.0311*** (6.62) | 0.0046*** (8.57) | 0.0043*** (8.01) |
| Loan Growth | -0.0159*** (-4.26) | -0.0070** (-1.97) | -0.0021*** (-4.65) | -0.0009** (-2.08) |
| Loan Loos Provisions-to- Assets | 1.4202*** (12.26) | 0.1377***(9.84) | ||
| Liquidity-to-Assets | -0.0492*** (-4.46) | -0.0072*** (-6.86) | ||
| Deposit-to-Assets | -0.0086* (-1.96) | -0.0024*** (-5.21) | ||
| Non-interest income-to- Assets | 0.1681*** (3.55) | 0.0228*** (3.79) | ||
| Firm fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Cluster by firm | Yes | Yes | Yes | Yes |
| Observations | 36854 | 36820 | 36854 | 36820 |
| Adjusted R2 | 0.4001 | 0.4130 | 0.8704 | 0.8729 |
| Panel A: Sea level rise | ||||
|---|---|---|---|---|
| (1) MESt+1 | (2) MESt+1 | (3) ACoVart+1 | (4) ACoVart+1 | |
| Sea level rise | 0.0043** (2.23) | 0.0035* (1.82) | 0.0007*** (3.81) | 0.0005*** (2.93) |
| Ln(Assets) | -0.0460*** (-7.98) | -0.0479*** (-8.24) | -0.0020*** (-3.64) | -0.0022*** (-3.99) |
| Ln(Assets) | 0.0015*** (7.82) | 0.0015*** (7.99) | 0.0001*** (3.72) | 0.0001*** (3.90) |
| Bank Capital | -0.1351*** (-8.34) | -0.1430*** (-8.72) | -0.0074*** (-3.72) | -0.0075** (-4.00) |
| Profitability (ROA) | -1.8493*** (-24.25) | -1.0753*** (-11.52) | -0.0877** (-10.84) | -0.0202** (-1.99) |
| Loan-to-Assets | 0.0431*** (9.30) | 0.0368*** (7.65) | 0.0050*** (9.40) | 0.0046*** (8.94) |
| Loan Growth | -0.0309*** (-8.17) | -0.0228*** (-6.27) | -0.0033*** (-7.04) | -0.0021** (-4.82) |
| Loan Loss Provisions-to-Assets | 1.5796***(13.29) | 0.1499*** (10.32) | ||
| Liquidity-to-Assets | -0.0257** (-2.43) | -0.0052*** (-5.18) | ||
| Deposit-to-Assets | -0.0027 (-0.66) | -0.0019*** (-4.35) | ||
| Non-interest income-to-Assets | 0.1327*** (2.61) | 0.0197*** (3.42) | ||
| Firm fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Cluster by firm | Yes | Yes | Yes | Yes |
| Observations | 36854 | 36820 | 36854 | 36820 |
| Adjusted | 0.3567 | 0.3706 | 0.8671 | 0.8694 |
| Panel B: Environmental and climate policy uncertainty | ||||
| (1) MESt+1 | (2) MESt+1 | (3) ACoVart+1 | (4) ACoVart+1 | |
| Environmental and climate policy uncertainty | 0.0212***(28.55) | 0.0210***(28.30) | 0.0016*** (18.69) | 0.0016*** (19.09) |
| Ln(Assets) | -0.0592***(-10.14) | -0.0607*** (-10.60) | -0.0030*** (-5.30) | -0.0032*** (-5.81) |
| Ln(Assets) | 0.0017***(9.02) | 0.0018*** (9.35) | 0.0001*** (4.67) | 0.0001***(4.94) |
| Bank Capital | -0.1634***(-10.06) | -0.1652*** (-10.29) | -0.0098*** (-4.65) | -0.0094*** (-4.77) |
| Profitability (ROA) | -1.4030***(-19.45) | -0.7508***(-8.73) | -0.0533*** (-6.99) | 0.0051 (0.51) |
| Loan-to-Assets | 0.0365*** (8.09) | 0.0311*** (6.62) | 0.0046*** (8.57) | 0.0043*** (8.01) |
| Loan Growth | -0.0159*** (-4.26) | -0.0070** (-1.97) | -0.0021*** (-4.65) | -0.0009** (-2.08) |
| Loan Loos Provisions-to- Assets | 1.4202*** (12.26) | 0.1377***(9.84) | ||
| Liquidity-to-Assets | -0.0492*** (-4.46) | -0.0072*** (-6.86) | ||
| Deposit-to-Assets | -0.0086* (-1.96) | -0.0024*** (-5.21) | ||
| Non-interest income-to- Assets | 0.1681*** (3.55) | 0.0228*** (3.79) | ||
| Firm fixed effects | Yes | Yes | Yes | Yes |
| Time fixed effects | Yes | Yes | Yes | Yes |
| Cluster by firm | Yes | Yes | Yes | Yes |
| Observations | 36854 | 36820 | 36854 | 36820 |
| Adjusted | 0.4001 | 0.4130 | 0.8704 | 0.8729 |
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