This paper investigates the relationship between natural disasters and the reaction of sovereign CDS spread in Europe. By applying an event study methodology during the period January 2007–December 2021 on an original database in which we identify 92 natural disasters in 17 European countries, we assess the reaction of the sovereign CDS market to a natural disaster. We find a heterogeneous response of the European sovereign risk to a natural disaster, as the response of the sovereign CDS market differs from region to region. The advent of a natural disaster can increase inequality between the regions due to the higher cost of credit for sovereigns and the reduced scope for manoeuvring public finances. Also, the results of the contagion effect confirm the hypothesis of a cross-border propagation effect, as natural disaster, in general, is not local event but spreads to other countries.

本文研究了自然灾害与欧洲主权 CDS 利差反应之间的关系。通过在 2007 年 1 月至 2021 年 12 月期间对原始数据库应用事件研究方法，我们在其中识别了 17 个欧洲国家的 92 次自然灾害，我们评估了主权 CDS 市场对自然灾害的反应。我们发现欧洲主权风险对自然灾害的不同反应，因为主权 CDS 市场的反应因地区而异。自然灾害的到来可能会加剧地区之间的不平等，因为主权国家的信贷成本更高，公共财政的机动范围更小。此外，传染效应的结果证实了跨境传播效应的假设，作为自然灾害，一般来说，