The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)
Table 18 Description and sources of variables
From: Physical climate change and the sovereign risk of emerging economies
Variable | Description | Source |
|---|---|---|
Variables in baseline regression (Sect. 4) | ||
\(\Delta\)EMBI | Monthly change in natural logarithm of Emerging Market Bond Index (Global) (winsorized at 1st and 99th percentile) | J.P. Morgan |
Historical Temperature Anomaly (HistoricalTempAnomaly) | Difference between monthly temperature of a country and its 1901-1950 temperature average of the same month | Climatic Research Unit, see Harris et al. (2020) |
Deviation-Adjusted Temperature Anomaly (DeviationAdjusted- TempAnomaly) | HistoricalTempAnomaly divided by a country’s 1901–1950 standard deviation of monthly temperature | Climatic Research Unit, see Harris et al. (2020) |
Precipitation | Precipitation in units of 1000 mm per month | Climatic Research Unit, see Harris et al. (2020) |
\(\Delta\)VIX | Monthly first difference in VIX volatility index (winsorized at 1st and 99th percentile) | CBOE |
\(\Delta\)US-CorporateRiskPremium | Monthly first difference in spread between the S &P US high yield corporate bond index and the corresponding investment grade index (winsorized at 1st and 99th percentile) | S&P |
\(\Delta\)US-10-YearTreasuryYield | Monthly first difference in the yield of the 10-year US Treasury bond (winsorized at 1st and 99th percentile) | Datastream |
\(\Delta\)US-TermSpread | Monthly first difference in spread between 10-year US Treasury yield and 3-month US T-Bill yield (winsorized at 1st and 99th percentile) | Datastream, Federal Reserve |
\(\Delta\)GlobalGovernment BondIndex | Monthly change in natural logarithm of Bank Of America Merrill Lynch Global Government Index (winsorized at 1st and 99th percentile) | Merrill Lynch |
Variables in interaction and bin regressions (Sect. 5) | ||
Very cold, cold, mild, warm, very warm country (percentile) | Countries are grouped into a bin according to percentile distribution of average annual temperature (1901–2018), 1st–20th (very cold), 21st–40th (cold) percentile and so on | |
Very cold, cold, mild, warm, very warm country (5 \(^{\circ }\)C- interval) | Countries are grouped into a bin according to 5 \(^{\circ }\)C- intervals \(\le\) 10 \(^{\circ }\)C (very cold), \(> 10\) & \(\le\) 15 \(^{\circ }\)C (cold), \(> 15\) & \(\le\) 20 \(^{\circ }\)C (mild), \(> 20\) & \(\le\) 25 \(^{\circ }\)C (warm), \(> 25\) \(^{\circ }\)C (very warm) | |
Agriculture to GDP | Value added of agriculture (% of gross domestic product) | World Bank |
Manufacturing to GDP | Value added of manufacturing (% of gross domestic product) | World Bank |
Services to GDP | Value added of services (% of gross domestic product) | World Bank |
Resource rents to GDP | Sum of oil rents, natural gas rents, coal rents (hard and soft), mineral rents, and forest rents (% of gross domestic product) | World Bank |
Rule of law | Rule of law rank (the extend of which agents have confidence in and abide by the rules of society; linearly interpolated) | World Bank |
Control of corruption | Control of corruption rank (the extent to which public power is exercised for private gain, including both petty and grand forms of corruption, as well as “capture” of the state by elites and private interests; linearly interpolated) | World Bank |
Civil liberties | Countries and territories with a rating of 1 enjoy a wide range of civil liberties. Countries and territories with a rating of 7 have few or no civil liberties | Freedom House |
Political rights | Countries and territories with a rating of 1 enjoy a wide range of political rights, including free and fair elections. Countries and territories with a rating of 7 have few or no political rights | Freedom House |
ND-GAIN | Notre Dame Global Adaptation Index; ND-GAIN brings together over 74 variables to form 45 core indicators to measure vulnerability and readiness to climate change | Notre Dame Global Adaption Initiative |
Readiness index | Readiness component of ND-GAIN; measures readiness by considering a country’s ability to leverage investments to climate adaptation actions | Notre Dame Global Adaption Initiative |
Vulnerability index | Vulnerability component of ND-GAIN; measures propensity or predisposition of human societies to be negatively impacted by climate hazards | Notre Dame Global Adaption Initiative |
GDP per capita | Gross domestic product per capita in constant 2010-US-dollar prices | World Bank |
Variables in robustness tests (Sect. 6) | ||
\(\Delta\)EMBI spread | Monthly first difference in Emerging Market Bond Spread (Global) (winsorized at 1st and 99th percentile) | J.P. Morgan |
\(\Delta\)CDS Spread | Monthly first difference in sovereign CDS Spread (winsorized at 1st and 99th percentile) | Thomson Reuters CDS |
Political stability | Political stability and absence of violence rank (likelihood of political instability and/or politically motivated violence, including terrorism; linearly interpolated) | World Bank |
Variables in further robustness tests (Sect. 7) | ||
Natural disasters | Date of drought, earthquake, epidemic, heat wave, flood, impact, insect infestation, landslide, mass movement, storm, volcanic activity, wildfire (total deaths, damage and affected people for certain disasters) | International Disaster Database |
GDP growth | Quarterly natural log change of GDP in constant, seasonally adjusted 2015 US-Dollar prices | Oxford Economics |
Post-Paris | Dummy that is 1 after Paris Agreement (December 2015) | |
Further data used | ||
Stock returns | Natural log returns of stock market index | MSCI, S&P |
Government primary surplus | Government primary net lending/borrowing (% of GDP) | IMF Fiscal Monitor |
Accumulated CO\(_2\) emissions | Accumulated CO\(_2\) emissions of every country and the world since 1751 | Global Carbon Project, retrieved via ourworldindata.org |
Population | Total population of every country and the world in 2017 | World Bank |