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Analysing the link between environmental performance and sovereign credit risk

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  • Maria E. de Boyrie
  • Ivelina Pavlova

Abstract

This study investigates the effects of a country’s environmental performance on sovereign credit risk. We use sovereign credit default swap (CDS) spreads for a large panel of countries to analyse whether the relationship between environmental performance and credit risk varies by the maturity of the credit instrument and by the level of fiscal performance. Using a dynamic panel generalized method of moments model, we document a negative association between environmental performance and credit risk. This relationship does not exhibit substantial variation by CDS maturity.

Suggested Citation

  • Maria E. de Boyrie & Ivelina Pavlova, 2020. "Analysing the link between environmental performance and sovereign credit risk," Applied Economics, Taylor & Francis Journals, vol. 52(54), pages 5949-5966, November.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:54:p:5949-5966
    DOI: 10.1080/00036846.2020.1781772
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    2. David Aristei & Manuela Gallo, 2024. "Green management, access to credit, and firms’ vulnerability to the COVID-19 crisis," Small Business Economics, Springer, vol. 62(1), pages 179-211, January.

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