The Convergence of Sovereign Environmental, Social and Governance Ratings
This paper studies sovereign environmental, social, and governance (ESG) ratings from the qualitative and quantitative angles. First, it introduces the landscape for sovereign ESG ratings. Second, it provides a comparison with the history of credit...
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World Bank, Washington, DC
2021
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| Online Access: | http://documents.worldbank.org/curated/en/931921615831876764/The-Convergence-of-Sovereign-Environmental-Social-and-Governance-Ratings http://hdl.handle.net/10986/35291 |
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okr-10986-352912022-09-20T00:09:37Z The Convergence of Sovereign Environmental, Social and Governance Ratings Bouye, Eric Menville, Diane ENVIRONMENTAL SUSTAINABILITY SOVEREIGN GREEN BOND SOVEREIGN DEBT BOND RATING GOVERNANCE RESPONSIBLE INVESTMENT This paper studies sovereign environmental, social, and governance (ESG) ratings from the qualitative and quantitative angles. First, it introduces the landscape for sovereign ESG ratings. Second, it provides a comparison with the history of credit ratings, factoring in that ESG ratings are in an early development stage. Third, the paper reviews different actors, key issues, including taxonomy, models and data from different providers. The paper provides a qualitative assessment of the convergence of ratings among providers by introducing a factor attribution method, that maps all providers' ratings into a common taxonomy defined by the United Nations-supported Principles for Responsible Investment (UNPRI). Then, a quantitative analysis of the convergence is performed by regressing the scores on variables from the World Bank sovereign ESG database. A noticeable contribution to the literature is a high level of explanatory power of these variables across all rating methodologies, with a R2 ranging between 0.78 and 0.98. An analysis of the importance of variables using a lasso regression exhibits the preponderance of the governance factor and the limited role of demographic shifts for all providers. 2021-03-18T14:36:06Z 2021-03-18T14:36:06Z 2021-03 Working Paper http://documents.worldbank.org/curated/en/931921615831876764/The-Convergence-of-Sovereign-Environmental-Social-and-Governance-Ratings http://hdl.handle.net/10986/35291 English Policy Research Working Paper;No. 9583 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper |
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Digital Repository |
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Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ENVIRONMENTAL SUSTAINABILITY SOVEREIGN GREEN BOND SOVEREIGN DEBT BOND RATING GOVERNANCE RESPONSIBLE INVESTMENT |
| spellingShingle |
ENVIRONMENTAL SUSTAINABILITY SOVEREIGN GREEN BOND SOVEREIGN DEBT BOND RATING GOVERNANCE RESPONSIBLE INVESTMENT Bouye, Eric Menville, Diane The Convergence of Sovereign Environmental, Social and Governance Ratings |
| relation |
Policy Research Working Paper;No. 9583 |
| description |
This paper studies sovereign
environmental, social, and governance (ESG) ratings from the
qualitative and quantitative angles. First, it introduces
the landscape for sovereign ESG ratings. Second, it provides
a comparison with the history of credit ratings, factoring
in that ESG ratings are in an early development stage.
Third, the paper reviews different actors, key issues,
including taxonomy, models and data from different
providers. The paper provides a qualitative assessment of
the convergence of ratings among providers by introducing a
factor attribution method, that maps all providers'
ratings into a common taxonomy defined by the United
Nations-supported Principles for Responsible Investment
(UNPRI). Then, a quantitative analysis of the convergence is
performed by regressing the scores on variables from the
World Bank sovereign ESG database. A noticeable contribution
to the literature is a high level of explanatory power of
these variables across all rating methodologies, with a R2
ranging between 0.78 and 0.98. An analysis of the importance
of variables using a lasso regression exhibits the
preponderance of the governance factor and the limited role
of demographic shifts for all providers. |
| format |
Working Paper |
| author |
Bouye, Eric Menville, Diane |
| author_facet |
Bouye, Eric Menville, Diane |
| author_sort |
Bouye, Eric |
| title |
The Convergence of Sovereign Environmental, Social and Governance Ratings |
| title_short |
The Convergence of Sovereign Environmental, Social and Governance Ratings |
| title_full |
The Convergence of Sovereign Environmental, Social and Governance Ratings |
| title_fullStr |
The Convergence of Sovereign Environmental, Social and Governance Ratings |
| title_full_unstemmed |
The Convergence of Sovereign Environmental, Social and Governance Ratings |
| title_sort |
convergence of sovereign environmental, social and governance ratings |
| publisher |
World Bank, Washington, DC |
| publishDate |
2021 |
| url |
http://documents.worldbank.org/curated/en/931921615831876764/The-Convergence-of-Sovereign-Environmental-Social-and-Governance-Ratings http://hdl.handle.net/10986/35291 |
| _version_ |
1764482726692388864 |