The Effect of Commodity Systemic Risk on Macroeconomic Indicators Moderated by Climate Change Risks in ASEAN Countries for the Period 2013 – 2023

Abstract

This study aims to examine the impact of systemic commodity risk on the macroeconomic indicators of ASEAN countries during the 2013–2023 period, with climate change considered as a moderating variable. Systemic risk is measured using Conditional Value at Risk (CoVaR) and ∆CoVaR, while climate risk is represented by the ND-GAIN index. The study employs panel data and a quantitative approach using quantile regression and panel data models, including Fixed Effects and Random Effects. The results reveal that systemic commodity risk significantly affects macroeconomic indicators such as GDP growth and inflation. Furthermore, climate change amplifies the effect of systemic risk, particularly in countries with low climate resilience. These findings highlight the necessity of implementing climate risk mitigation strategies and commodity market stabilization policies to maintain macroeconomic stability in the ASEAN region.