Analysing the link between environmental performance and sovereign credit risk

Maria E. de Boyrie and Ivelina Pavlova

Applied Economics, 2020, vol. 52, issue 54, 5949-5966

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.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2020.1781772 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:52:y:2020:i:54:p:5949-5966

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2020.1781772

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().