FAIRR Research Seminar with Urszula Szczerbowicz (SKEMA Business School)

Lieu : En ligne 
Heure : 12h-13h30
Intervenante : Urszula Szczerbowicz (SKEMA Business School)

Résumé : This paper introduces a Central Bank Climate Action Communication index (CB-CAC), providing a measurable signal of central banks' commitment to climate action. Using a natural language processing approach, CB-CAC is constructed at daily frequency between 1997 and 2024 from a corpus of over 2,700 inter-meeting communications of European Central Bank officials. We analyze the reactions of European equities to these climate communications, and propose a long-short portfolio that outperforms in the event of CB-CAC shocks. Finally, using flow data from major European investors on European equities, we find that banks and households react to ECB climate communications by selling brown stocks, while conventional (non-ESG) investment funds act as arbitrageurs.