General data description.

Both climate risk and race are factors that may affect municipal bond yields, yet each has received relatively limited empirical research attention. We analyzed > 712,000 municipal bonds representing nearly 2 trillion USD in par outstanding, focusing on credit spread or the difference between a debt issuer’s interest cost to borrow and a benchmark “risk-free” municipal rate. The relationship between credit spread and physical climate risk is significant and slightly positive, yet the coefficient indicates no meaningful spread penalty for increased physical climate risk. We also find that racial composition (the percent of a community that is Black) explains a statistically significant and meaningful portion of municipal credit spreads, even after controlling for a variety of variables in domains such as geographic location of issuer, bond structure (e.g., bond maturity), credit rating, and non-race economic variables (e.g., per capita income). Assuming 4 trillion USD in annual outstanding par across the entire municipal market, and weighting each issuer by its percent Black, an estimated 19 basis point (bp) penalty for Black Americans sums to approximately 900 million USD annually in aggregate. Our combined findings indicate a systemic mispricing of risk in the municipal bond market, where race impacts the cost of capital, and climate does not.气候风险（climate risk）与种族均为可能影响市政债券（municipal bond）收益率的潜在因素，但二者目前均未获得足够的实证研究关注。本研究分析了逾71.2万只市政债券，对应未偿还面值总额近2万亿美元，重点关注信用利差（credit spread）——即债务发行人的借款利息成本与基准“无风险”市政利率之间的差值。信用利差与物理气候风险（physical climate risk）之间存在显著且微弱的正相关关系，但回归系数显示，物理气候风险的上升并未带来显著的利差惩罚。研究同时发现，社区的种族构成（即黑人居民占比）能够在统计上显著且具有实际意义地解释市政债券信用利差的一部分差异，即便在控制了发行人地理位置、债券结构（如债券期限）、信用评级以及非种族类经济变量（如人均收入）等多维度变量后，该结论依然成立。假设全美市政债券市场年度未偿还面值总额为4万亿美元，并按各发行人所在社区的黑人居民占比进行加权，那么针对美国黑人群体的19个基点（basis point，常缩写为bp）的利差惩罚，每年累计总额约达9亿美元。综合上述研究结果可知，市政债券市场存在系统性风险定价偏差：种族因素会影响资本成本，而气候风险则未体现出此类影响。