Abstract
This study investigates sovereign credit risk spillovers in G20 countries, emphasizing the impact of climate policy uncertainty using DY spillover index framework and GARCH-MIDAS model. Empirical results show Mexico, Brazil and South Africa as primary transmitters, with the G7 countries as net receivers. We find an inverse relationship between climate uncertainty and sovereign CDS spillovers, particularly affecting highly integrated G20 countries. These results highlight the need to incorporate climate policy into risk management.
| Original language | English |
|---|---|
| Pages (from-to) | 1008-1014 |
| Number of pages | 7 |
| Journal | Procedia Computer Science |
| Volume | 242 |
| DOIs | |
| State | Published - 2024 |
| Externally published | Yes |
| Event | 11th International Conference on Information Technology and Quantitative Management, ITQM 2024 - Bucharest, Romania Duration: 23 Aug 2024 → 25 Aug 2024 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 13 Climate Action
Keywords
- GARCH-Midas model
- climate policy uncertainty
- sovereign credit risk
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