Climate transition risk in sovereign bond markets

Collender, S; Gan, B; Nikitopoulos, CS; Richards, KA; Ryan, L

Climate transition risk in sovereign bond markets

Collender, S Gan, B Nikitopoulos, CS Richards, KA Ryan, L

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Global Finance Journal, 2023, 57, pp. 100868
Issue Date:: 2023-08-01

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Field	Value	Language
dc.contributor.author	Collender, S
dc.contributor.author	Gan, B
dc.contributor.author	Nikitopoulos, CS
dc.contributor.author	Richards, KA
dc.contributor.author	Ryan, L
dc.date.accessioned	2023-08-09T07:14:15Z
dc.date.available	2023-08-09T07:14:15Z
dc.date.issued	2023-08-01
dc.identifier.citation	Global Finance Journal, 2023, 57, pp. 100868
dc.identifier.issn	1044-0283
dc.identifier.uri	http://hdl.handle.net/10453/171776
dc.description.abstract	Is climate transition risk factored into sovereign bond markets? We find that carbon dioxide emissions, natural resources rents, and renewable energy consumption—as measures of transition risk—significantly affect yields and spreads. Countries with lower carbon emissions incur lower borrowing costs. Advanced countries with reduced earnings from natural resources rents and increased renewable energy consumption are associated with lower borrowing costs, which differ from the effects in developing countries. Given the threat that climate change poses to the global economy and the fast materialization of transition risk, we advocate an increase in the significance of climate transition risk factors as determinants in sovereign bond markets.
dc.language	en
dc.publisher	Elsevier
dc.relation	Ardea Investment Management Pty Ltd
dc.relation.ispartof	Global Finance Journal
dc.relation.isbasedon	10.1016/j.gfj.2023.100868
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.subject.classification	3501 Accounting, auditing and accountability
dc.subject.classification	3502 Banking, finance and investment
dc.title	Climate transition risk in sovereign bond markets
dc.type	Journal Article
utslib.citation.volume	57
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
pubs.organisational-group	/University of Technology Sydney/Strength - CBSD - Centre for Business and Sustainable Development
utslib.copyright.status	closed_access	*
dc.date.updated	2023-08-09T07:14:13Z
pubs.publication-status	Accepted
pubs.volume	57

Abstract:

Is climate transition risk factored into sovereign bond markets? We find that carbon dioxide emissions, natural resources rents, and renewable energy consumption—as measures of transition risk—significantly affect yields and spreads. Countries with lower carbon emissions incur lower borrowing costs. Advanced countries with reduced earnings from natural resources rents and increased renewable energy consumption are associated with lower borrowing costs, which differ from the effects in developing countries. Given the threat that climate change poses to the global economy and the fast materialization of transition risk, we advocate an increase in the significance of climate transition risk factors as determinants in sovereign bond markets.

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http://hdl.handle.net/10453/171776