Online Appendix to: Physical Climate Change and the Sovereign Risk of Emerging Economies

Boehm, Hannes

doi:10.2139/ssrn.3838698

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“…Thus, by using the Hausman test we confirm that the best possible method in the Panel ARDL is the dynamic fixed effects model, which provides the robust estimation in the analysis. Boehm (2020) has examined the physical climate change risks and the sovereign creditworthiness of emerging economies. The climate change variable in the study was the temperature anomalies and the study was conducted using monthly temperature data from 54 emerging economies.…”

Section: Literature Reviewmentioning

confidence: 99%

Impact of Climate Change on Sovereign Risk in Asia

Jayasooriya¹

2023

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More than at any time in the history, climate change is having an increasingly unprecedented effect on human lives. Economies are affected severely in terms of sovereign risk due to climate change variations influencing the macroeconomy. Asian countries are highly susceptible to economic downturn due to the consequences of climate change. The purpose of this study is to identify the relationships between sovereign risk and climate change in all Asian countries. Controlling for a range of macroeconomic and financial drivers of sovereign bond spreads, the paper applied a Panel autoregressive distributed lag (ARDL) model to identify the effects of climate change on the sovereign risk. The Panel l ARDL included the pooled mean group (PMG) regression, mean group (MG) estimation, and dynamic fixed effects (DFE) regression for estimating the macroeconomic impacts. The results show that, in the long run, the DFE model, which was selected as the best model for all Asian countries, provides evidence for the existence of a cointegration relationship. These findings have implications for policymakers, both from a fiscal sustainability perspective and with regard to the influence of exposure to climate change.

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Section: Literature Reviewmentioning

confidence: 99%

Impact of Climate Change on Sovereign Risk in Asia

Jayasooriya¹

2023

View full text Add to dashboard Cite

show abstract

Online Appendix to: Physical Climate Change and the Sovereign Risk of Emerging Economies

Cited by 1 publication

References 0 publications

Impact of Climate Change on Sovereign Risk in Asia

Impact of Climate Change on Sovereign Risk in Asia

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