解读主权债券定价中的气候相关风险：全球视角

Decoding climate-related risks insovereign bond pricing:a globalperspective 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. Abstract Climate 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; Q54 Non-technical summary Climate 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 riskandphysical risk, while recognizing the differentdynamics expected from developing economies as well as the nonlinearities arising from the debtlevels of a country when a climate disaster shock materializes. For transition risk, this study finds that there is a significant and positive relationship with10-year sovereign bond yields, suggesting that achieving progress in climate transition perfor-mance can offset the transition risk premium.Developing economies, which have in generalimplemented less green financial policies and have lower fiscal capacity, tend to experiencehigher borrowing costs as they navigate the transition toward greener economies.This un-derscores the importance of proactively managing transition risks to minimize their financialimpact. Moreover, the analysis illustrates that the positive relationship between carbon emis-sions and sovereign yields has become stronger since the Paris Agreement for the countries withgreater exposure to transition risk, suggesting that credit investors are increasingly recognizingthe importance of this risk. For physical climate risk, the study finds that there is no impact on sovereign bond yieldsfor the full sample. However, for the subsample of highly indebted countries, acute physical risk(measured by the frequency and severity of natural disasters) does increase borrowing costs.This suggests that the bond market is taking into account the risks from severe climate eventson vulnerable countries. This study also investigates the short-to-medium-term impact of climate shocks on sovereignbond yields and finds that it is larger for more severe (e.g. droughts) and more frequent (e.g. storms) events. At the same time, the response is more immediate and steeper for developingcountries emphasizing the challenges faced by these economies.A key insight of the study isthat available fiscal space plays a critical role in determining the magnitude and persistence ofthe impact of climate shocks on sovereign yields.When the shock hits, natural disasters areassociated with a smaller impact for low-debt countries. The reason is that countries with highf