Modeling the global sovereign credit network under climate change |
| |
| Institution: | 1. College of Economics, Shenzhen University, 3688 Nanhai Avenue, Nanshan District, Shenzhen, Guangdong 518060, PR China;2. Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan;1. Department of Business Administration, One Academic College, Zahal 104 Street, Kiryat Ono 55000, Israel;2. Plaster School of Business, Missouri Southern State University, Joplin, MO, United States;3. Department of Economics, Texas Tech University, Lubbock, TX, United States;1. Finance, Accounting, and Control, Indian Institute of Management Amritsar, Punjab 143105, India;2. Finance and Accounting, Indian Institute of Management Lucknow, Prabandh Nagar, IIM Road, Lucknow, Uttar Pradesh 226013, India;1. School of Business, Central South University, Changsha 410083, China;2. School of Finance, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, China;3. Innovation Research Institute of Traditional Chinese Medicine, Shanghai University of Traditional Chinese Medicine, Shanghai 201203, China |
| |
| Abstract: | Climate change is becoming an urgent issue for the global economy. Our study employs a multivariate extreme value regression model that incorporates a LASSO-type estimator to investigate the tail dependence of the global sovereign credit default swap market conditional on climate change. Herein, we propose an extremal connectedness measure based on tail dependence to construct a sovereign credit network. The findings show that extreme weather or climate disasters significantly impact country-specific sovereign risk with heterogeneous network structure outcomes. Specifically, extreme weather conditions have a strong impact on countries' sovereign credit and magnify their influence on the global sovereign credit network. Furthermore, we identify an asymmetric risk spillover effect in the global sovereign credit network, where the degree of risk spillover is higher under extremely hot weather conditions. Our analysis provides new insights into the role of climate change in sovereign risk. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
