Research Seminar: Marianna Blix Grimaldi

Title: Decoding climate-related risks in sovereign bond pricing: A global perspective

Abstract: Climate change can affect sovereign credit risk through both transition and physical channels, but the extent to which these risks are reflected in sovereign borrowing costs remains unclear. Using a panel of 52 advanced and developing economies over 2000–2023, we examine whether transition, chronic physical and acute physical risks influence sovereign bond yields. We find that transition risk is priced: higher greenhouse gas emissions are associated with higher sovereign yields, with stronger effects in developing economies. Chronic temperature-related risks do not appear to influence yields in levels. Acute physical risks have limited average effects in panel regressions, but local projection estimates show that natural disasters can raise borrowing costs in the medium term, especially in countries with weaker fiscal positions. These results suggest that the impact of climate shocks on sovereign borrowing costs depends not only on the hazard itself but also on underlying macro-fiscal conditions.Bio: Prof dr. Margot Joosen is a health scientist and holds a PhD in occupational medicine on the topic of work and health. She currently works as an endowed professor at Tilburg University, The Netherlands and holds the chair ‘Labour Expertise and Inclusive Participation’. Margot is an expert in (mental) health at work and sustainable employability. Her research focuses on return to work and recovery of workers with health complaints such as cancer, physical injury and, mental health problems. In addition, she studies how to strengthen wellbeing, (mental) health and engagement at work, particularly among healthcare professionals. Margot is also interested in implementation research, mixed-method design and knowledge transfer and exchange.

Bio: Marianna Blix Grimaldi is an Adviser at the Financial Stability Department of the Riksbank. Her works focuses on broad financial stability issues as well as financial markets analysis, including climate risk and monetary policy impact. She has covered these and other topics in a range of policy articles and research publications in academic journals. She has a PhD in economics from KULeuven in Belgium.

Note: Tea/coffee and sandwiches will be served during the seminar.

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