Two Decades of Research on Sustainability and Sovereign Ratings: Trends, Research Puzzles and Future Directions

Abstract

The article provides a systematic and bibliometric review of the literature on the relationship between countries’ ESG scores and their sovereign ratings. The study, which follows the PRISMA 2020 guidelines, employs a bibliometric methodology using a sample of 168 peer-reviewed articles sourced from Scopus and WoS (2006–2024) to analyze the progression of research in this growing area. The analysis shows that academic output is concentrated in Europe (35% of publications) and North America (12% of publications), and that there is increasing interest in incorporating ESG factors into sovereign risk assessment, especially since 2019. The bibliometric mapping shows that themes concerning ESG integration into sovereign risk assessment, rating methodologies, and sustainability-driven financial risk pricing are predominant. Four main research streams are revealed through co-occurrence and clustering analyses, which also highlight an expanding yet disjointed body of knowledge. The results also suggest large differences in how ESG ratings are calculated, which brings into question how comparable and reliable they are for use in empirical studies. This study helps structure the field and proposes a more coherent research agenda by identifying four key research puzzles. Future research should concentrate on enhancing ESG measurement, breaking down its components, and crafting tailored approaches for emerging markets.

1. Introduction

Over the past few decades, ESG factors have become an important pillar of financial decision-making. This evolution falls within a scope that is linked to the rise in sustainability concerns in economic and financial analysis. Environmental, social and governance issues are progressively being considered as essential dimensions to evaluate the resilience of organizations and states. In this context, ESG criteria have appeared as an operational translation of sustainability in the financial domain. While ESG was previously only relevant at the corporate finance level, its role in sovereign risk assessment has become increasingly important (Pineau et al., 2022). This trend can be explained by the fact that people are becoming more aware of the non-financial risks that can affect a country’s economy, especially after the 2008 subprime crisis and the COVID-19 pandemic (Khatua & Ghosh, 2024). Governments, institutional investors, and rating agencies are now putting a greater emphasis on how ESG criteria affect the ability of a country to pay its debts. These assessments are traditionally based on macroeconomic stability, fiscal policy and a nation’s debt level. However, it is becoming increasingly clear that ESG factors can also play an important role in determining sovereign creditworthiness (Pineau et al., 2022). This has led to a shift in how rating agencies and investors assess sovereign risk, with ESG indicators now being included in their risk assessment models (Anand et al., 2023). In this context, the literature about ESG performance and sovereign risk has grown over the last few decades. However, despite this growth, existing research remains fragmented across several approaches (macroeconomic, financial, sustainability-linked). Specifically, the field lacks a unified consensus on the transmission mechanisms between qualitative sustainability efforts and quantitative fiscal solvency, leading to a theoretical disconnect between environmental science and financial economics. While some studies focus on the pricing of risk, others prioritize the normative value of sustainability, leaving a gap for an integrative synthesis that reconciles these disparate research streams.

The aim of this study is to offer a structured map of the literature devoted to this subject, identify the most influential authors and journals, outline the research topics explored in other works, and identify research gaps to propose future research avenues. By moving beyond simple descriptive statistics, this study fills a critical gap: the absence of a large-scale, science-mapping analysis (n = 168) capable of structuring the conceptual tensions that have previously hindered the development of a unified sovereign ESG risk model.

This work offers three main contributions to existing literature. First, to the best of our knowledge, this is the most comprehensive study offering a bibliometric and systematic analysis of the nexus between sovereign rating and ESG factors based on a large-scale dataset and offering thematic mapping, allowing readers to detect the gap, structure future research and identify key research puzzles. It addresses the current lack of scale in existing reviews (e.g., Pascoal et al., 2023) by using a robust dataset that captures nearly two decades of evolution. Second, it highlights the main “research puzzles” that structure the academic discussions in this field, providing a critical reflection on the heterogeneity of empirical results that prior reviews have failed to synthesize. Finally, it offers a conceptual framework integrating these different dimensions and identifies several avenues for future research.

To achieve these objectives, a bibliometric and systematic approach has been conducted in accordance with PRISMA 2020 guidelines, based on the Scopus and Web of Science databases from 2006 to 2024.

The paper is structured as follows: First, the theoretical background and literature review will be presented in the first section. Second, the Methodology Section will detail the systematic review protocol, data collection process and outline the bibliometric techniques employed. Next, the Results Section presents the bibliometric analysis and then it highlights the intellectual structure of the literature and the main research puzzles. Finally, the last section discusses the implications of the results and offers a future research agenda.

2. Theoretical Background and Literature Review

The intersection between sovereign ratings and ESG criteria remains a relatively new area of research (Pineau et al., 2022). While there is currently a growing awareness of the influence and importance of ESG variables, research on how these factors affect sovereign credit ratings remains very limited. Most of the literature focuses exclusively on the integration of ESG issues into corporate credit risk assessment, and data on ESG factors are more standardized at the corporate level than at the sovereign level. This topic is of great importance given current crises, like political conflicts, financial instability, and concerns related to sustainable development (Vitols & Jekabsone, 2023). Professionals address solvency and liquidity issues by drawing on past and present public debt, as well as economic and political indicators that highlight current instabilities. This analysis generally draws on accounting theory and principal-agent relationships in information economics (Vafin, 2020). However, considering historical accounting data alone is insufficient, as these factors are generally unpredictable, which can lead to future events not being anticipated by historical data (Cifuentes-Faura & Simionescu, 2024; Zhuravka et al., 2024).

According to the risk mitigation theory, incorporating ESG factors into sovereign credit risk assessment models can mitigate counterparty risks and strengthen the resilience and creditworthiness of public entities. Indeed, several ESG transmission mechanisms can impact a country’s credit risk. For example, recent studies have highlighted the significant role of climate risk in the assessment of sovereign credit ratings, which can influence economic growth, fiscal management, and the functioning of institutions, all of which are key factors in sovereign ratings. According to the climate–finance network theory, climate-related risks can spread through financial systems, potentially affecting the stability of financial institutions and markets.

Before ESG scores became available, most studies used governance indicators as proxy measures of qualitative influences on credit risk. Governance factors are particularly indicative of a government’s willingness to repay rather than its ability to do so (Crifo et al., 2017). Depken et al. (2006) and Connolly (2007) observe that sovereign bond yield spreads and credit ratings are sensitive to a country’s corruption index. Several other studies show that political risk or stability and governance factors are a key determinant in establishing a country’s credit risk and ratings (Erb et al., 1996; Baldacci et al., 2011; Bekaert et al., 2014; Benzoni et al., 2015).

Crifo et al. (2017) analyze the effects of ESG factors on sovereign credit risk and find that the composite ESG score has a significant negative impact on bond yield spreads, implying that higher ESG scores are associated with lower borrowing costs, which is linked to a better credit rating. However, they find that the economic significance of ESG ratings in explaining bond yield spreads is low compared to financial variables and credit ratings.

Capelle-Blancard et al. (2019) analyze the impact of decomposed ESG factors on the yield spreads of sovereign bonds from 20 OECD countries for the period of 1996–2012. According to them, the ESG ratings provided by agencies primarily reflect policies rather than the actual impact on the environment and society. Thus, they construct their own indices by referring to the guidelines defined by various ESG rating agencies and asset managers. Capelle-Blancard et al. (2019) find a strong negative relationship between overall ESG scores and sovereign bond yield spreads. These spreads are more pronounced in the eurozone than in other developed countries. This effect has strengthened considerably since the global financial crisis.

Based on data covering 60 countries for the period 2007–2017, Hubel (2022) finds that countries with better ESG performance have lower credit default swap (CDS) spreads and flatter implied CDS credit curves, supporting the risk mitigation theory suggesting that ESG criteria have a risk-mitigating effect that is even more pronounced in the long term than in the short term. These results hold up well when controlling for various economic and financial variables as well as credit ratings, implying that CDS markets incorporate ESG information differently than credit rating agencies.

Anand et al. (2023) examine the impact of ESG scores on sovereign ratings. First, they find that sustainability significantly reduces market-based sovereign credit risk and structural sovereign credit risk but does not have a consistent impact on analyst-based sovereign credit risk, which is in line with overinvestment theory. Second, the relationship between sustainability and sovereign credit risk varies across ESG rating agencies, confirming widespread concerns regarding the lack of standardization and comparability of sustainability metrics. Indeed, as highlighted in several studies (Pishchalkina et al., 2022; Berg et al., 2022; Ermokhin et al., 2023), there is a problem of rating divergence. This is because different rating agencies use different methodologies and weighted systems, which leads to inconsistent assessments of the same entities. Specifically, Berg et al. (2022) identify three main drivers of this “aggregate confusion”: scope divergence, measurement divergence, and weighting divergence. Such discrepancies result in reduced comparability of research results, potential estimation biases, and significant difficulties in interpreting the actual relationship between ESG factors and sovereign risk. Furthermore, the impact of this phenomenon extends to financial markets; as demonstrated by Zhang (2024), ESG rating divergence introduces significant information noise that can lead to the mispricing of sovereign debt.

Jiang et al. (2022) studied the evolution of ESG criteria at the national level worldwide. They found that low-income countries tend to focus on economic development rather than ESG principles, while countries characterized by stronger economic growth tend to place greater emphasis on ESG development (Jiang et al., 2022). The same result was demonstrated by Pineau et al. (2022). The authors used a data-driven methodology to explore the relative importance of ESG and non-ESG factors in sovereign credit ratings. In conclusion, they asserted that ESG factors are more important for countries with stronger economic growth and less important for developing economies (Pineau et al., 2022).

Pineau et al. (2022) analyze the importance of ESG factors in sovereign credit ratings using a two-step methodology. First, they construct ESG and non-ESG meta-variables. Next, they calculate variable importance scores to explore the relative importance of ESG and non-ESG factors in assessing sovereign creditworthiness. The importance of ESG factors was analyzed according to the level of economic development across different geographic regions. The results showed that the importance of ESG factors differs between emerging and developing economies and advanced economies. Indeed, governance is the most important factor for advanced economies, while non-ESG factors determine the creditworthiness of emerging and developing economies.

Ciocchini et al. (2003) showed that countries with lower levels of corruption pay a lower risk premium when issuing bonds. According to Margaretic and Pouget (2018), countries with effective governance of their natural, human, and financial resources can implement socioeconomic measures to generate revenue, which improves their ability to repay public debt. Jeanneret (2018) examines the influence of regulatory quality on sovereign bond yield spreads and finds that it has a major economic impact on sovereign default risk.

According to this literature review, we can conclude that several studies have examined the links between sovereign ratings and ESG factors. Nevertheless, few analyses have been conducted on the impact of ESG on sovereign credit ratings. Also, they do not quantify the extent to which these criteria are actually considered in sovereign credit ratings. Nemoto and Liu (2020) analyzed whether ESG ratings affected sovereign credit ratings, but only as part of a robustness test. Furthermore, most authors disagree with the ESG metrics provided by rating agencies, which appear to assess strategies and policies rather than the actual impacts on environmental, social, and governance aspects.

Ishimwe et al. (2025) examine the impact of ESG factors on the sovereign credit ratings of sub-Saharan African countries. By applying statistical prediction models, they assess the relative importance of ESG factors compared to macroeconomic (non-ESG) variables in the determination of credit ratings. The results reveal that governance and macroeconomic factors are the dominant determinants of sovereign credit ratings in upper-middle-income Sub-Saharan African countries, while environmental factors play a crucial role in low-income countries. The findings underscore the need for policymakers to integrate ESG considerations into national financial and economic strategies to improve creditworthiness and attract sustainable investment.

This literature review has thus highlighted both the recent emergence of the link between sovereign ratings and ESG criteria and the diversity of empirical approaches. In this context, conducting a bibliometric and systematic analysis is important in order to help us structure this field of research, identify its dynamics and better understand the main trends.

3. Methodology

3.1. Protocol Review

The preliminary step entailed the delineation of the precise field of study of our research, namely sovereign ESG assessment and sovereign credit rating. The subsequent research question was thus formulated to capture the multi-dimensional evolution of the field: How has the academic literature on the nexus between sovereign ESG evaluation and credit ratings evolved since 2006, specifically regarding its geographical distribution, the methodological challenges of measurement, and the conceptual “research puzzles” that define its current structure?

This research uses a hybrid methodological framework that combines a systematic review based on PRISMA 2020 (Preferred Reporting Items for Systematic Reviews and Meta-Analyses) with a bibliometric analysis. Bibliometric analysis provides a quantitative depiction of the subject; nevertheless, its accuracy is contingent upon the quality and relevance of the underlying dataset. It is very important to use the PRISMA protocol to make sure that a bibliometric study is valid because it makes sure that the metadata (citations, keywords, and networks) that was looked at comes from a clear, repeatable, and carefully curated body of literature that does not include any irrelevant or low-quality documents. Recent literature (Pakdel & Erol, 2025; Pascoal et al., 2023) indicates that the utilization of PRISMA in a bibliometric framework alleviates “selection bias” and guarantees that the discerned bibliometric trends authentically reflect a high-quality scientific reality, as opposed to a broad, unpolished database investigation.

The review process followed the four main steps recommended by PRISMA 2020, which are Identification, Screening, Eligibility and Inclusion, which facilitate the identification, selection and analysis of scientific literature. This methodological approach (PRISMA 2020) enables us to meet international reporting requirements while ensuring that the review is structured in a thorough and analytical manner. In this regard, Passas (2024) emphasizes that the scientific robustness of such studies is fundamentally secured through the transparency of the research methodology. This transparency, as highlighted by Ridzuan et al. (2025), Ganti et al. (2025), and Van Raan (2014), is inherently guaranteed by the rigorous application of the PRISMA 2020 protocol, which provides a standardized framework that directly underpins the reliability and credibility of the final bibliometric outcomes.

3.2. Data Collection

In accordance with the guidelines of PRISMA 2020, the inclusion and exclusion criteria have been identified in advance to ensure coherence, transparency and reproducibility of the selection process. We have only selected scientific papers published between 2006 and 2024 relating to ESG criteria at the country level and analyzing their link with sovereign ratings. Conference papers, books, book chapters, institutional reports and other non-scientific documents have been excluded. It is important to note that while the initial search (1992–2024) identified four documents published before 2006, a detailed manual review led to their exclusion due to a lack of thematic alignment with the ESG–sovereign rating nexus. These early studies focused exclusively on traditional macroeconomic and fiscal dimensions: exchange rate policies, capital inflow dynamics, political economy of European transitions, and fiscal debt sustainability models. Notably, the term “sustainable” in these works referred to fiscal solvency rather than environmental or social criteria. Since the integrated ESG framework for sovereign risk assessment only matured after the launch of the UN-PRI in 2006, these articles were excluded to maintain a high-quality, specialized corpus and to avoid distorting the bibliometric trends with unrelated macroeconomic literature. The literature research was conducted through the Scopus and Web of Science databases.

Although policy and institutional reports play an important role in the field of sovereign ESG, they were excluded for two reasons. First, we chose to focus on the academic literature in order to understand the scientific framework of this field. Second, this helped to ensure the consistency and reproducibility of the bibliometric analysis, which relies on standardized academic metadata.

The search was conducted in December 2024. A preliminary exploration phase has enabled us to identify key concepts used in the literature based on an analysis of ten reference articles, leading to the construction of queries combining keywords related to ESG dimensions, sovereign ratings and country level, using Boolean operators (see

Table 1. Queries.

SCOPUS

TITLE-ABS-KEY (“ESG” OR “ESG ratings” OR “ESG scores” OR “Environmental, Social, and Governance (ESG)” OR “ESG performance” OR “ESG sustainability” OR “measure of sustainability” OR “sustainability risk” OR “sustainability” OR “sustainable growth” OR “materiality”) AND TITLE-ABS-KEY (“sovereign rating” OR “sovereign ratings” OR “sovereign risk” OR “sovereign credit” OR “sovereign credit risk” OR “sovereign creditworthiness” OR “sovereign borrowing cost” OR “sovereign bond” OR “sovereign risk measure” OR “sovereign credit risk measure” OR “sovereign bond yield” OR “sovereign bond spread” OR “credit rating” OR “creditworthiness” OR “country creditworthiness” OR “credit rating agencies” OR “rating agency” OR “credit spread” OR “bond spread” OR “economic strength”) AND TITLE-ABS-KEY (“country” OR “countries” OR “national economy” OR “national economies” OR “economies” OR “developing economies” OR “emerging market” OR “advanced economies” OR “national composite indicators”)

WOS

TS = (“ESG” OR “ESG ratings” OR “ESG scores” OR “Environmental, Social, and Governance (ESG)” OR “ESG performance” OR “ESG sustainability” OR “measure of sustainability” OR “sustainability risk” OR “sustainability” OR “sustainable growth” OR “materiality”) AND TS = (“sovereign rating” OR “sovereign ratings” OR “sovereign risk” OR “sovereign credit” OR “sovereign credit risk” OR “sovereign creditworthiness” OR “sovereign borrowing cost” OR “sovereign bond” OR “sovereign risk measure” OR “sovereign credit risk measure” OR “sovereign bond yield” OR “sovereign bond spread” OR “credit rating” OR “creditworthiness” OR “country creditworthiness” OR “credit rating agencies” OR “rating agency” OR “credit spread” OR “bond spread” OR “economic strength”) AND TS = (“country” OR “countries” OR “national economy” OR “national economies” OR “economies” OR “developing economies” OR “emerging market” OR “advanced economies” OR “national composite indicators”)

Source: authors.

).

The initial identification phase yielded a total of 237 papers, comprising 134 from Scopus and 103 from Web of Science. After merging the two databases, 65 duplicate records were identified and removed, resulting in a refined sample of 172 unique papers. These 172 papers were then subjected to a formal eligibility screening based on the inclusion and exclusion criteria. At this stage, 4 articles were excluded because they were published prior to 2006 and lacked conceptual alignment with the modern ESG framework (as detailed in the previous section). Consequently, a final corpus of 168 papers was retained for the systematic review and bibliometric analysis (see Appendix A for the exhaustive list of papers). This rigorous selection process is transparently documented in the PRISMA 2020 flow diagram presented in Figure 1.

Before moving to the analysis, to ensure robustness related to the construction of queries combining the keywords used, an additional sensitivity check was conducted using alternative, narrower keyword combinations like (“ESG” OR “sustainability”) AND (“sovereign rating” OR “creditworthiness” OR “rating agency”) AND (“countr*” OR “economies”). This alternative search yielded a total of 107 unique articles after merging the Scopus and Web of Science databases and removing duplicates. Our comparative analysis reveals that these 107 papers were already entirely captured within our original sample of 168 articles, demonstrating a high degree of convergence and overlap. This proves that while our initial query was broader to ensure maximum “recall” of the literature, it did not introduce irrelevant noise that was not already filtered out during our manual screening process. On the contrary, the original strategy allowed us to capture 61 additional relevant studies that the narrower search would have omitted. These results suggest that the risk of having missed seminal or relevant papers is minimal and that our initial strategy provided a more comprehensive mapping of the field.

For each included article, we extracted data related to authors, keywords, titles, journals, countries and other publication details.

In this research, a comprehensive methodological approach was adopted, combining bibliometric analysis (Spinthiropoulos et al., 2021; Morkūnas et al., 2022; De Bruyn et al., 2023; Ben Said et al., 2024) and thematic analysis. This methodological approach enabled us to systematically analyze the link between sovereign ESG and credit ratings. It also allowed us to examine the context in which this link is analyzed, the characteristics of the research carried out (such as the countries concerned and the variables used) and the methods used in the current study.

Finally, in order to conduct our analysis, we have used the Bibliometrix package from R software (4.4.2 version) and its Biblioshiny platform (Aria & Cuccurullo, 2017). The analysis is structured around two complementary steps: (1) an analysis of bibliometric performance indicators aiming to examine the evolution of scientific output, identifying the most influential journals and authors through citation metrics; and (2) a science mapping approach to identify the conceptual structure of the field. This second step relies on Co-word Analysis using the co-occurrence of authors’ keywords to detect research trends. The resulting Thematic Map was generated by Biblioshiny using a Walktrap clustering algorithm and normalized through Association Strength (Aria & Cuccurullo, 2017). This map structures the field into four categories based on Callon et al. (1991)’s metrics of Centrality (relevance degree) and Density (development degree), providing a rigorous framework for identifying the main research puzzles and future avenues.

4. Results and Discussion

This section is divided into two parts: a bibliometric analysis and a systematic review. The first part offers a bibliometric study that shows how the research has changed over time and what the main areas of research are. The second part is a systematic review that puts together information from selected research to look at the methods used, the main results, and the gaps in the literature. This analysis aids in achieving a thorough understanding of the existing research on the topic and pinpoints areas that necessitate further investigation.

4.1. Bibliometric Analysis Results

4.1.1. Evolution of Scientific Production

Figure 2 shows the evolution of scientific research from 1992 to 2024 to provide a broader historical perspective.

The graph identifies five distinct phases in the evolution of the research on the topic under investigation. During the first phase, from 1992 to 2006, scientific production on the subject was almost non-existent, with only four articles published over the entire period. In the second phase, from 2006 to 2012, there was modest production, since ESG standards were mainly implemented in the corporate context. The next period, from 2013 to 2015, saw a slow rise. The peak in 2015 was due to COP21, which took place that year. This led to more debates about green finance and more interest in studying how long states can last. Subsequently, from 2016 to 2018, production declined due to the lack of standardization of ESG indicators.

From 2019 onwards, a number of significant events have increased interest in incorporating ESG criteria into the evaluation of governments. For example, the COVID-19 crisis in 2020 highlighted the importance of assessing countries’ economic and social resilience. The vulnerability of governments to environmental, social and governance challenges has also been exacerbated by the energy crisis and the conflict in Ukraine (2022), encouraging the development of new methods for assessing sovereign risk. To sum up, the recent increase reflects the growing interest among researchers in a more robust framework for assessing sovereign risk that takes account of climate, social and governance issues.

4.1.2. Main Characteristics of the Sample

The articles analyzed were sourced from a total of 136 journals, constituting 168 individual papers. The robust annual growth rate of 21.02% underscores a maturing research field that is rapidly attracting new academic talent. Furthermore, the high citation average (17.94 per document), despite the relatively young age of the papers (4.84 years), indicates a high level of scientific impact and urgency. This reveals that the literature on sovereign ESG is being used as a foundational pillar for subsequent studies, highlighting its critical importance in contemporary financial research. The analysis of the authors’ keywords shows that there are 600 different terms, revealing how rich the field of study is. The sample includes 400 authors, 43 of whom have published individual articles, while the average number of co-authors per document is 2.51, illustrating a trend towards scientific collaboration. Furthermore, the international co-publication rate was 17.26%, indicating a moderate openness to transnational collaboration, although the work was predominantly conducted within national networks.

4.1.3. Most Important Journals

Table 2. Most relevant sources.

Sources	Articles
JOURNAL OF CORPORATE FINANCE RESEARCH	4
QUANTITATIVE FINANCE	4
SUSTAINABILITY	4
EURASIAN ECONOMIC REVIEW	3
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE	3
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS	3
JOURNAL OF CLEANER PRODUCTION	3
JOURNAL OF INTERNATIONAL MONEY AND FINANCE	3

Source: Biblioshiny.

highlights the most relevant sources that have published work on the link between countries’ ESG ratings and sovereign credit ratings. The most active journals are the Journal of Corporate Finance Research, Quantitative Finance and Sustainability. Others include the International Review of Economics and Finance and the International Journal of Financial Analysis. In terms of scientific production by source, as Figure 3 shows, there was modest activity until 2012, followed by a gradual increase between 2013 and 2016, driven by publications such as the Journal of Corporate Finance Research and Quantitative Finance. Since 2021, there has been a production acceleration with the entry of new sources such as Sustainability and the Journal of Cleaner Production. Overall, the period 2023–2024 is marked by a diversification of sources, testifying to steadily growing interest and growing institutional recognition of the theme in the fields of economics, finance and sustainable management. The distribution of publications across sources reveals a multidisciplinary intersection between corporate finance and sustainable management. The presence of both “Quantitative Finance” and “Sustainability” in the top rankings indicates that the subject is being tackled from two distinct but converging angles: the mathematical modeling of risk and the qualitative assessment of long-term state resilience. This diversification of sources suggests that sovereign ESG is moving out of the “green finance” niche and becoming a mainstream topic in top-tier economic and financial journals.

4.1.4. Overview of the Most Contributing Countries

As demonstrated in Figure 4, an analysis of publications by country reveals a notable concentration of scientific output focusing on ESG ratings of countries and their sovereign ratings, predominantly in a few European and North American countries. Italy has the highest number of publications, with 24 articles. The US comes in second with 20, Germany with 19, and China and the UK each have 17 articles. The fact that most of the research comes from Europe and the United States shows the considerable contribution made by these regions to research on the subject in question. Furthermore, India and Malaysia are among the few emerging nations on the list of most productive countries, highlighting the gradual increase in interest in this subject outside the framework of Western economies. This geographic concentration is likely driven by the pioneering role of the European Union in implementing mandatory sustainability regulations (such as the SFDR) and the active nature of North American debt markets. The entry of emerging nations like India indicates that ESG is transitioning from a Western financial trend to a critical global criterion for attracting foreign capital.

Figure 5 shows how publications have changed over the years, with different trends by country. From 2006 to 2024, the United States dominated, with its number of published articles growing steadily. But since 2015, Italy and Germany have seen a big increase in scientific output, with the greatest rise happening between 2021 and 2024. Conversely, China has experienced late but rapid development, reflecting a growing awareness of the influence of countries’ ESG performance on their sovereign rating. The recent spike in Italy and Germany can be interpreted as a response to the Eurozone’s post-pandemic recovery plans, which heavily tied financial aid to green transition targets. Meanwhile, China’s late but exponential acceleration aligns with its national 2060 carbon neutrality goals and the strategic push to align its massive state-backed green bond market with international standards (Z. Liu et al., 2021).

An analysis of the level of collaboration, presented in Figure 6, reveals inequalities between countries in terms of co-publications. Italy is the most influential country, followed by the United States and China. However, the distinction between Single-Country Publications (SCP) and %Multi-Country Publications (MCP) reveals different research strategies. For example, the Netherlands has the highest rate of international collaboration (40% of MCPs), indicating a strong focus on scientific cooperation. Conversely, India, Poland and Spain have solely national publications (100% SCP), which may constrain their international impact. This absolute reliance on national publications in several countries points to a fragmentation of the research field. It suggests that researchers are still heavily constrained by localized data availability and domestic fiscal frameworks, underscoring the urgent need for more cross-border collaboration to establish unified global metrics for sovereign ESG assessment.

4.2. Intellectual Structure of the Literature

4.2.1. Mapping the Research Field

According to the analysis of bibliometric metrics, the study of the relationship between ESG criteria and sovereign ratings is a fast-growing subject that is attracting increasing interest among researchers. To better understand the evolution of this topic, we have plotted a thematic map (see Figure 7) that identifies the main lines of research, their degree of development and their relevance, according to the classification of Della Corte et al. (2019), based on the analysis of authors’ keywords. This map structures the field into four main categories, providing an overview of current research dynamics and future avenues. In addition to their bibliometric categorization, these clusters expose various research puzzles that shape the ongoing academic discourse regarding ESG and sovereign credit risk.

4.2.2. Key Research Puzzles in the ESG–Sovereign Literature

Puzzle 1: The macroeconomic sovereign risk puzzle: The themes in the top right-hand quadrant of the map are both highly relevant (high centrality) and well developed (high density). They constitute the major lines of research that shape the field of study. Among them, fiscal policy and sovereign debt emerge as fundamental topics. These results suggest that public finance management and sovereign debt considerations are strongly integrated into research on the ESG performance of governments. This is because a country’s macroeconomic stability is a key determinant of sovereign ratings, and integrating ESG criteria into these assessments is becoming a strategic issue for both rating agencies and investors. Theoretically, this puzzle underscores the shift toward financial materiality, where ESG factors are no longer viewed as external ethical externalities but as endogenous determinants of a state’s long-term solvency.

Puzzle 2: The sustainability factor integration puzzle: The themes in the bottom right quadrant are highly central but as yet underdeveloped. They form the fundamental theoretical underpinnings of the field of study but require further structuring. They include fundamental concepts such as sustainability and corporate social responsibility (CSR). This highlights the growing importance of ESG criteria as factors structuring national economic and financial policies. However, their low density indicates that the existing literature still lacks a methodological framework for precisely quantifying their impact on sovereign ratings. This puzzle reveals a theoretical gap between ‘normative sustainability’ (what a nation should do) and the challenge of measuring the exact financial impact of these actions on credit risk.

Puzzle 3: The ESG measurement puzzle: The concepts in the bottom left quadrant are poorly developed and weakly connected to the other themes, suggesting that they are still emerging. These themes are characterized by low centrality (little connection with the other dominant debates) and low density (little research development). The joint presence of ESG rating and sovereign credit rating reveals a growing interest in studying the influence of ESG criteria on the evaluation of sovereign risk, but also suggests that this field remains unexplored and promising. This puzzle is deeply rooted in the problem of information asymmetry and rating divergence; without standardized metrics, the signal sent to debt markets remains blurred, preventing a robust correlation between sustainability and borrowing costs. As Berg et al. (2022) show in their framework of “Aggregate Confusion,” this divergence is mainly due to three factors: scope divergence (differences in the attributes measured), measurement divergence (different indicators for the same attribute), and weighting divergence (different importance assigned to each attribute). The absence of unanimity, further addressed by Shi and Yao (2025) and De Jong et al. (2025), greatly affects the credibility of sovereign risk assessments and makes cross-study comparisons problematic. From a financial point of view, Zhang (2024) points out that the difference in ESG ratings brings substantial “noise” into the markets, which may result in the mispricing of sovereign debt.

Puzzle 4: The institutional and peripheral puzzle: These themes, located in the upper left-hand quadrant, are not very central. This means that they represent specific areas of research that are not integrated into the main work. Among them, financial institutions and governance are subjects whose link with ESG and sovereign ratings is more sectoral than universal. These themes can, in fact, enrich the overall analysis in this area by introducing an institutional and regulatory dimension. From an institutional theory perspective, this suggests that ESG integration in these areas is often driven by regulatory isomorphism (compliance with international standards) rather than a universal market logic, reflecting the fragmented nature of global sustainability governance.

These puzzles show how broken the current literature is when looked at all together. Macroeconomic fundamentals are still the most important factors in sovereign risk analysis, but sustainability issues, problems with measuring ESG factors, and institutional factors are changing the academic debate over time.

To resolve these puzzles, this study proposes a Conceptual Framework (Figure 8) that follows a linear transmission logic. It illustrates that Sustainability factors (the source of risk) must first pass through ESG measurement (the filter of information) before being transmitted to Financial markets (the price signal). This transmission ultimately determines the Sovereign Credit Assessment and its Macroeconomic outcomes. This framework helps bridge the gap between the “Sustainability” and “Macroeconomic” puzzles identified in the thematic map.

4.3. Foundation of the Literature

4.3.1. Concepts

Two key concepts dominate this field of research: sovereign ESG ratings and sovereign credit assessments. Sovereign ESG ratings provide a multidimensional assessment of a country’s performance in three key areas: environmental management, societal responsibility and governance efficiency (Crifo et al., 2017). These ratings evaluate a nation’s commitment to sustainable development, its regulatory framework for natural resources, its respect for human rights, the effectiveness of its institutions, and its efforts in addressing corruption (Hubel, 2022). In contrast to conventional financial indices, ESG ratings offer a long-term perspective, which is crucial for assessing a nation’s stability and its capacity to surmount future challenges (Agarwala et al., 2021). Conversely, sovereign credit ratings offer a distinct evaluation of a government’s capacity to honor its financial obligations, exerting a direct influence on its borrowing costs across global financial markets (Arbatli & Escolano, 2015). These assessments, which are generally provided by bodies such as Standard & Poor’s, Moody’s and Fitch, are based mainly on financial, budgetary and macroeconomic indicators (Gómez-Puig et al., 2023). Increasingly, the integration of ESG criteria into the evaluation process is seen as a strategic necessity for rating agencies and investors alike.

4.3.2. Geography

The papers reviewed investigate the application of the concepts in diverse geographical settings, encompassing a broad spectrum of economic levels, ranging from developed to developing nations. Consequently, a considerable proportion of research studies focus on developed economies, including those of the OECD and the European Union (Capelle-Blancard et al., 2019; Afonso et al., 2024; L. Liu, 2024), while others study emerging markets such as the BRICS and Southeast Asia. Finally, some studies adopt a regional approach, focusing on specific regions such as sub-Saharan Africa (Olaoye & Olomola, 2023), the Eurozone (Canofari et al., 2014), or the Asian continent.

4.3.3. Evolution

Figure 2 shows that academics became much more interested in how ESG criteria affect sovereign risk starting in 2013. The interest peaked in 2015, which was the year of the COP21 conference and the growth of green finance. Since 2019, the number of publications has grown at an exponential rate. This shows that more people are realizing how important climate, social, and governance issues are when assessing risk. The global financial crisis, the energy crisis, and geopolitical tensions related to the conflict in Ukraine have all made this trend stronger.

4.3.4. Implications

The relationship between a nation’s ESG performance and its sovereign credit rating is a matter of significant concern, with a multitude of consequences. Primarily, a comprehensive understanding of the impact of ESG criteria on borrowing costs assists governments in enhancing their financial risk management and augmenting their access to financial markets (Hill Clarvis et al., 2014). The integration of ESG criteria within sovereign risk analysis is a key factor in encouraging governments to implement sustainable and responsible policies (Benhamida et al., 2024), thereby contributing to the achievement of the Sustainable Development Goals. Furthermore, the assessment of the financial materiality of ESG risks is of paramount importance for investors, who are increasingly favoring countries that are investing in a transition towards a sustainable economy (Park & Jang, 2021). Finally, this method also helps optimize crisis management by taking into account macroeconomic elements and fiscal soundness to avoid potential financial imbalances (Dufrénot et al., 2016). Therefore, studying this link helps to consolidate financial stability and encourage a more sustainable development model on an international scale.

5. Discussion and Future Research Fields

Based on the research puzzles exposed in the previous section, this part synthesizes the main insights in the literature and highlights the most promising agenda for future research. In fact, the available literature on the subject shows that more and more studies are seeking to link countries’ environmental, social and governance (ESG) scores with their sovereign ratings. The thematic map shows that this area of study is evolving rapidly and gaining importance. However, there is still much scope for research, as it is a relatively new field. A large body of work recognizes that key factors such as fiscal policy, public debt management and overall macroeconomic stability are key indicators of sovereign ratings (Arbatli & Escolano, 2015; Gómez-Puig et al., 2023). However, adding ESG factors to this framework is proving increasingly valuable for investors and rating agencies. Numerous studies have shown that integrating sustainability into credit risk assessment correlates with integrating sustainability into credit risk assessment (Lim & Goh, 2024; Abdul Razak et al., 2023), and it is clear that the challenges of climate change have forced the public sector to adopt a new approach that prioritizes the environment (Boitan, 2023).

The primary research question explored in this study is whether a nation’s ESG performance exerts a quantifiable influence on its perception by sovereign debt markets, specifically concerning the potential translation of this performance into reduced borrowing costs. A substantial body of research has emerged, offering evidence suggesting that superior ESG performance, as indicated by higher ESG ratings, is associated with reduced sovereign credit default swap (CDS) spreads and government bond spreads (Hubel, 2022; Crifo et al., 2017). The role of ESG ratings in sovereign investments has been demonstrated by several studies (Hasegawa et al., 2024), which also show that nations with lower ESG scores tend to face higher market risks, especially for emerging countries. Some studies say that breaking ESG criteria down into their parts (Environmental, Social, and Governance) can help people understand the complicated connections between them (Abramov et al., 2024). Capelle-Blancard et al. (2019) assert that the social and governance dimensions are more associated with sovereign bond spreads than the environmental dimension. Research indicates that the impacts of ESG factors vary across different contexts. The level of economic development in a nation (Pineau et al., 2022), its geographical position (Niedziółka et al., 2023), and the specific characteristics of its economy (Wegener et al., 2016) all play a role. Some studies place particular emphasis on how ESG factors affect ratings in emerging markets, highlighting the need for ESG rating systems adapted to these markets (Wang et al., 2023).

However, the relative underdevelopment of the fundamental themes on the thematic map indicates that the literature is still encountering difficulties in establishing a solid methodological framework for accurately quantifying ESG criteria on sovereign ratings. Indeed, as highlighted in several studies (Pishchalkina et al., 2022; Ermokhin et al., 2023), there is a problem of rating divergence. This is because different rating agencies use different methodologies and weighted systems, which leads to inconsistent assessments of the same entities.

Future research should prioritize the creation of transparent and standardized methodologies for ESG evaluation, aiming to rectify existing discrepancies and improve data comparability by conducting cross-provider comparative studies between agencies such as Moody’s, S&P, and Fitch. There is a need for research that investigates the influence of various ESG components (environmental, social, and governance) on sovereign ratings through comparative designs that contrast OECD economies with emerging markets. The employment of advanced econometric techniques such as Machine Learning algorithms to handle non-linearities, Quantile Regressions to assess impacts across different risk levels, or Time-Varying Parameter (TVP) models to quantify the impacts of ESG on sovereign credit spreads and bond yields has the potential to offer more nuanced and accurate assessments of sovereign risk. Finally, research should focus on adapting ESG assessment methodologies to emerging economies, taking into account their specific social, economic and environmental contexts by developing localized sustainability indicators that better reflect institutional quality in developing nations. Addressing these gaps will facilitate and enhance the reliability of integrating ESG issues into sovereign risk assessment, benefiting investors, policymakers and the global financial system.

6. Conclusions

This study has systematically examined the growing body of literature exploring the relationship between countries’ ESG assessment and their sovereign credit ratings. The analysis also shows a notable trend of increasing research activity, particularly post-2019, evidencing a widening accountability of ESG factors as core components in the assessment of sovereign risk. Theoretically, this evolution signifies a paradigm shift where sustainability is no longer an external ethical consideration but an endogenous factor of financial materiality. We have identified important research themes, including the role of fiscal policy, sovereign debt, and sustainability, as well as prominent authors and journals that shape this emerging field. The foci of research activity, as per geographical disposition, show a concentration in European and North American countries, with emerging economies (India, Malaysia) showing an increase in research centers.

More broadly, this study enabled us to highlight the intellectual structure of this research field by identifying several “research puzzles”, especially the key role of macroeconomics, the progressive integration of sustainability issues, the challenges related to ESG measurements and the institutional dimensions that remain underexplored. By structuring these perspectives, this research offers a significant theoretical contribution, which is an integrated conceptual framework that bridges the gap between traditional macroeconomic models and sustainability-linked risk assessments.

In conclusion, this review shows how important ESG factors have become in assessing sovereign risk and gives us a way to make sense of the current research. This also shows a big gap, not only in developing ESG scores but also in doing research to better understand this link. In fact, only 168 articles on this research topic were published between 2006 and 2024, which shows that not enough work has been done in this area. Critically, the persistence of these gaps suggests that sovereign debt markets still suffer from significant information asymmetry due to the lack of standardized metrics.

Despite the significant expansion of the field, especially in recent years, there are still major gaps. In particular, the lack of a uniform methodology for ESG rating, which leads to discrepancies, requires further study with a view to developing standardized and transparent assessment frameworks. From a practical standpoint, our findings suggest that rating agencies must urgently harmonize their ESG weightings to avoid the mispricing of sovereign risk.

Future research should focus on a detailed study of the ESG pillars (environmental, social and governance) and their precise effects on sovereign ratings in different economic and regional environments. In addition, it is crucial to modify ESG rating systems so that they more accurately reflect the reality of emerging markets, which would help to promote sustainable development and attract ethical investment. Future research can also explore more deeply the transmission mechanisms between ESG performance, financial markets and cost of debt for states, and the context-related effects, which are heterogeneous.

Given these constraints, further work could help strengthen the integration of ESG factors into sovereign risk assessment. The practical implications of this study are direct: it provides a roadmap for policymakers to improve sustainability disclosures and for investors to refine their risk-adjusted return models. This would facilitate more informed decision-making processes among investors, policymakers, and rating agencies, thereby contributing to enhanced financial stability and sustainable development on an international scale. Thus, by offering a map to the field, a structure to the academic debates and a future research agenda, this study contributes to a better understanding of the growing role of ESG factors in the assessment of sovereign risk.