Physical climate change and the sovereign risk of emerging economies

Journal of Economic Structures

The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 9 Channels of temperature–sovereign risk connection: institutional quality

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI	\(\Delta\)EMBI
HistoricalTempAnomaly	− 0.209** (0.0873)		− 0.166** (0.0816)		0.137* (0.0717)		0.0984 (0.0747)
DeviationAdjustedTempAnomaly		− 0.584*** (0.141)		− 0.572*** (0.183)		0.173 (0.216)		− 0.0127 (0.146)
RuleOfLaw	− 0.00507 (0.00497)	− 0.00556 (0.00453)
HistoricalTempAnomaly \(\times\) RuleOfLaw	0.00396*** (0.00123)
DeviationAdjustedTempAnomaly \(\times\) RuleOfLaw		0.00802*** (0.00261)
ControlOfCorruption			− 0.00494 (0.00497)	− 0.00506 (0.00511)
HistoricalTempAnomaly \(\times\) ControlOfCorruption			0.00304*** (0.00110)
DeviationAdjustedTempAnomaly \(\times\) ControlOfCorruption				0.00728** (0.00348)
CivilLiberties					0.149* (0.0771)	0.177** (0.0861)
HistoricalTempAnomaly \(\times\) CivilLiberties					− 0.0454*** (0.0152)
DeviationAdjustedTempAnomaly \(\times\) CivilLiberties						− 0.124** (0.0526)
PoliticalRights							0.0230 (0.0538)	0.0245 (0.0551)
HistoricalTempAnomaly \(\times\) PoliticalRights							− 0.0324** (0.0125)
DeviationAdjustedTempAnomaly \(\times\) PoliticalRights								− 0.0749* (0.0397)
Precipitation	0.275	0.114	0.293	0.126	0.218	0.00310	0.231	0.0241
	(0.374)	(0.387)	(0.374)	(0.388)	(0.371)	(0.383)	(0.368)	(0.374)
Observations	9688	9688	9688	9688	9929	9929	9940	9940
R-squared	0.502	0.502	0.502	0.502	0.524	0.525	0.524	0.524
Country FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Region\(\times\)MonthYear FE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

This table shows OLS estimation results of a panel of 54 countries from 1994m1 to 2018m12. \(\Delta\)EMBI are monthly natural log returns of a country’s EMBI index. HistoricalTempAnomaly is the difference between monthly temperature of a country and its 1901–1950 temperature average of the same month. DeviationAdjustedTempAnomaly is the anomaly measure divided by a country’s 1901–1950 average of temperature standard deviation. The rule of law index ((1)-(2)), the control of corruption index (3–4), the civil liberties index (5–6) and the political rights index (7–8) are used as interaction variables. Standard errors (in parentheses) are clustered at the country level and control for heteroscedasticity and serial correlation, ***, ** and * indicate statistical significance at the 1%, 5% and 10% level, respectively. See Table 18 for variable definitions and sources