Sovereign Debt in a Warming World: Are Credit Ratings Responding to Climate Risks?
研究利用外部气候风险指标，分析主要评级机构的主权违约评级，发现气候风险并未系统性地影响评级，且其影响随时间未显著变化，反映评级机构更关注短期经济基本面而非长期气候风险。
ABSTRACT Investors and policymakers increasingly worry that climate change threatens sovereign debt. While recent studies find a negative effect, they typically estimate models assuming a time‐invariant impact and rely on climate variables endogenous to economic and policy conditions. This paper addresses both concerns by employing a long‐horizon, nonactionable, external measure of climate risk from the Notre Dame Global Adaptation Initiative, interacted with year‐fixed effects to capture any time‐varying impacts. Analyzing sovereign issuer default ratings from major agencies, I find no evidence that climate risk systematically affects ratings or that its influence has evolved over time. I confirm these results using climate disaster data from the Emergency Events Database. These findings likely reflect credit rating agencies' short‐ to medium‐term focus on economic fundamentals rather than on long‐term climate risks.