Abstract
Climate change poses a systemic risk to the global economy and financial markets. This article synthesizes three papers that empirically investigate the impact of climate change on sovereign risks, as measured by government bond yields and spreads, the probability of sovereign debt defaults and sovereign credit ratings. The focus is a large panel of advanced and developing countries over the period 1995–2017 and we take advantage of a new dataset of climate change vulnerability and resilience developed by the Notre Dame Global Adaptation Institute (ND-GAIN). Climate change vulnerability and resilience have statistically significant effects on various measures of sovereign risk, after controlling for conventional macroeconomic factors, especially in developing countries.
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