The main purpose of the study is to provide new evidence on the impact of the climate risk and climate policy uncertainty on the international corporate bond market. Key goals are related to examining different aspects of international corporate bond markets, as the study is one of the first papers to link climate policy uncertainty with the international corporate bond markets, in the contexts of sustainability (ESG thematic bonds versus conventional bonds), credit quality (investment grade versus high yield bonds), market development (developed versus emerging markets), industry (climate-sensitive versus non-sensitive industries), and maturity (short versus long term bonds). Climate policy uncertainty is measured by a novel index of climate policy uncertainty (CPU), developed by Gavriilidis (2021), and based on the textual analysis from eight leading US newspapers containing the terms related to climate policy and climate change. The study has important practical implications for investors and policymakers in the context of the potential risks associated with climate policy uncertainty and their impact on financial markets and stability. In particular, our study might be useful for portfolio managers in terms of risk management and evaluation of the risks originating from climate risk and climate policy uncertainty.

2024

2025