This paper investigates the role of countries' environmental, social and governance (ESG) performance in sovereign CDS markets. Based on data for 60 countries from 2007 to 2017, we find that countries with superior ESG performance do not only show lower credit default swap (CDS) spreads, they also exhibit flatter CDS implied credit curves. This implies a risk mitigation effect of ESG which is even more pronounced in the long term than in the short term. These results remain robust with regard to various economic and financial control variables as well as credit ratings, implying that CDS markets incorporate ESG information differently than credit rating agencies. From an investor's perspective, we find that considering ESG does not involve sacrificing returns. Indeed, investors can potentially benefit from ESG differences between countries with similar credit ratings.

中文翻译：

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市场是否重视主权信用曲线中的 ESG 风险？

本文调查了各国的环境、社会和治理 (ESG) 表现在主权 CDS 市场中的作用。根据 2007 年至 2017 年 60 个国家的数据，我们发现 ESG 表现优异的国家不仅表现出较低的信用违约互换 (CDS) 利差，而且还表现出更平坦的 CDS 隐含信用曲线。这意味着 ESG 的风险缓解效果在长期内比在短期内更为明显。这些结果在各种经济和金融控制变量以及信用评级方面仍然稳健，这意味着 CDS 市场吸收 ESG 信息的方式与信用评级机构不同。从投资者的角度来看，我们发现考虑 ESG 并不涉及牺牲回报。确实，