Abstract
This study investigates sovereign credit risk spillovers in G20 nations, emphasizing the impact of global climate policy uncertainty. This study analyzes the dynamics of these spillovers using sovereign credit default swap (SCDS) spreads and the time-varying parameter vector autoregressive approach. The study finds that Indonesia and Mexico are key risk transmitters within the G20. Linear and quantile regressions show an inverse relationship between climate uncertainty and SCDS spillovers, particularly affecting highly integrated G20 countries. These results highlight the need for coordinated and transparent climate policies to ensure financial stability among G20 nations.
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