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間の市場からの推定：確率的モデリングと推論のフレームワーク (AI 翻訳)
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji, Ilaria De Stefano
🤖 gxceed AI 要約
日本語
グリーンダイムの期間構造から市場が織り込む低炭素移行時間（TtT）を抽出する新手法を提案。規制デッドライン制約モデルとスイッチングモデルの2つの枠組みを開発し、有限標本フィルタリングと漸近理論で分析可能。移行時期の市場予想の定量モニタリングに貢献。
English
This paper introduces a market-implied Time to Transition (TtT) extracted from greenium term structure differences. It develops two stochastic frameworks (Regulatory Deadline-Constrained and Switching) and provides inference via finite-sample filtering and fixed-horizon asymptotics. The method offers a quantitative tool for monitoring market expectations of 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
本手法は、日本のグリーンボンド市場における移行リスクの評価に応用可能。特に、SSBJや有報での移行計画開示において、市場の期待移行時期を定量的に示す指標として有用。
In the global GX context
This paper contributes to transition risk measurement by providing a market-based indicator of transition timing that can complement TCFD/ISSB disclosures and inform transition finance strategies.
👥 読者別の含意
🔬研究者:A novel stochastic modeling framework for extracting transition timing from greenium; valuable for climate finance and econometrics researchers.
🏢実務担当者:Financial institutions can use this method to monitor market expectations of transition timelines for portfolio alignment and risk management.
🏛政策担当者:Offers a quantitative tool to assess market perceptions of policy deadlines for low-carbon transition.
📄 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://doi.org/10.48550/arxiv.2605.03082first seen 2026-05-17 05:22:19
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