Market-implied time to transition to a low-carbon economy: a stochastic modelling and inference framework
低炭素経済への移行時期の市場内在的推定：確率的モデリングと推論フレームワーク (AI 翻訳)
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji, Ilaria De Stefano
🤖 gxceed AI 要約
日本語
本論文は、グリーニアム（グリーンボンドと通常債のスプレッド）の期間構造に基づき、市場が織り込む低炭素経済への移行時期（TtT）を推定する新しい手法を提案する。規制期日制約モデルとスイッチングモデルの二つの確率的枠組みを導入し、有限標本フィルタリングと固定地平インフィル漸近理論を組み合わせた推論理論を展開する。これにより、市場参加者が想定する移行期限を定量的に抽出可能となる。
English
This paper introduces a new market-implied object, Time to Transition (TtT), extracted from the greenium term structure. It develops two stochastic frameworks: a deadline-constrained model and a switching extension, along with finite-sample filtering and fixed-horizon infill asymptotics for inference. The approach allows quantitative monitoring of market-perceived transition timing.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
この研究は、日本のGX移行において、市場が織り込む実質的な移行タイムラインを定量的に把握する手段を提供する。特に、グリーンボンド市場の拡大とともに、投資家の期待形成を反映した指標として活用可能性が高い。SSBJ開示基準のもとでの移行計画策定や、有報での気候関連開示における定量的補完材料となり得る。
In the global GX context
This paper contributes a novel market-based metric for inferring transition timing, directly relevant to transition finance and green bond markets globally. It bridges quantitative finance and climate policy by extracting latent deadlines from term structure data. The framework could inform ISSB-aligned scenario analysis and transition plan disclosures.
👥 読者別の含意
🔬研究者:For researchers, this paper provides a rigorous inferential framework for extracting transition timing from market data, combining stochastic modeling with filtering and asymptotic theory.
🏢実務担当者:Practitioners can use the TtT measure as a quantitative tool to monitor market expectations on transition deadlines, aiding in scenario analysis and risk management.
🏛政策担当者:Policymakers may leverage this metric to assess the credibility of net-zero commitments based on market-implied timelines.
📄 Abstract（原文）
This paper introduces a new market-implied object, Time to Transition (TtT), extracted from the difference between two selected nodes of the greenium term structure. TtT is defined as the latent waiting time until this cross-maturity greenium difference vanishes, meaning that the greenium becomes equal across the two selected maturities. We develop an inference theory for this object. To model TtT, we introduce two tractable stochastic frameworks: the Regulatory Deadline-Constrained Model, in which the transition date is fixed, and a switching extension, in which alternative transition dates capture heterogeneous perceived deadlines across economic agents. The paper combines two layers of analysis. On a fixed daily grid, a deadline-constrained diffusion provides a tractable benchmark through an exact Gaussian bridge likelihood, while the switching extension preserves tractability through regime-specific bridge densities and filtering recursions. Under a fixed-horizon infill scheme, the same framework yields a structural identification result for the regime-wise diffusion parameters, with full or partial consistency depending on the observed region. The paper therefore contributes both a new inferential object, market-implied transition timing based on cross-maturity differences in the greenium term structure, and a two-layer inference framework: finite-sample filtering provides an operational monitoring tool, while fixed-horizon infill asymptotics specify when the regime-wise diffusion parameters carrying information about competing transition dates can be consistently estimated.
🔗 Provenance — このレコードを発見したソース
- openalex https://arxiv.org/abs/2605.03082first seen 2026-05-17 05:21:59
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