Does Climate Risk Have the Same Impact on Corporate Bond Yields across Credit Ratings?

This paper studies the impact of climate risk on the yields of corporate bonds with different credit ratings. We find the impact of climate risk on AAA rated corporate bonds. When climate risk increases, the yield of AAA rated corporate bonds increases. But it explains only a tiny fraction of corporate bond yields. The model is more significant after taking the logarithm of climate risk. After maturity is added to the model, both the impact from climate risk and from maturity on the yield of AAA rated corporate bonds is significant. But the impact of climate risk on AA+ corporate bond yields is not significant and the impact of selling back on the yield of AA+ corporate bonds is significant and negative. When the selling back increases, the yield of AA+ corporate bonds decrease. The impact from the issuance on the yield of AA+ corporate bonds is significant and positive. When the issuance increases, the yield of AA+ corporate bonds increase. For AA rated corporate bonds, the impact from the independent variables on the yield of AA rated corporate bonds is not significant. Model does not hold. [ABSTRACT FROM AUTHOR]