欧洲央行-解读主权债券定价中的气候相关风险：全球视角（英）

Working Paper Series Decoding climate-related risks in sovereign bond pricing: a global perspective Sofia Anyfantaki, Marianna Blix Grimaldi, Carlos Madeira, Simona Malovana, Georgios Papadopoulos Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3135 AbstractClimate change poses a significant risk to financial stability by impacting sovereign creditrisk. Quantifying the exact impact is difficult as climate risk encompasses different com-ponents – transition risk and physical risk – with some of these, as well as the policies toaddress them, playing out over a long time horizon. In this paper, we use a large panel of 52developed and developing economies over two decades to empirically investigate the extentto which climate risks influence sovereign yields. The results of a panel regression analysisshow that transition risk is associated with higher sovereign yields, with the effect more pro-nounced for developing economies and for high-emitting countries after the Paris agreement.In contrast, high-temperature anomalies do not appear to be priced-in sovereign borrowingcosts. At the same time, countries with high levels of debt tend to record higher sovereignyields as acute physical risk increases. In the medium term, using local projections, we findthat sovereign yields respond significantly but also differently to different types of disastercaused by climate change. We also explore the nonlinear effects of weather-related naturaldisasters on sovereign yields and find a striking contrast in the impact of climate shocks onsovereign borrowing costs according to income level and fiscal space when the shock hits.Keywords: Climate risk; sovereign risk; transition risk; temperature change; natural dis-astersJEL Codes: C23; E62; H63; Q54ECB Working Paper Series No 3135 1Non-technical summaryClimate change is generally acknowledged as a significant risk factor, especially for high-debt, fiscally vulnerable countries. These countries may be less well placed to deal with thechallenges of severe weather events as well as the costs of the green transition. Climate changeintroduces a complex array of risks to public finances through multiple and interdependenttransmission channels which in turn feed into sovereign borrowing costs.However, despite the profound implications of climate-related risks for sovereign borrowingcosts, systematic analysis of this relationship remains limited. This study provides new empiricalevidence on the impact of climate risk on sovereign bond pricing through an in-depth empiricalanalysis based on a large cross-sectional dataset of 52 (developing and developed) countries anddetailed climate-risk data for the last two decades. Specifically, the study considers the twokey components of climate risk: transition risk and physical risk, while recognizing the differentdynamics expected