Global ESG sentiment, policy commitments, and sustainability uncertainty: A cross-country analysis

Abstract

This study examines the temporal patterns, cross-country heterogeneity, and global spillovers of ESG-related uncertainty, with direct implications for achieving multiple Sustainable Development Goals (SDGs), particularly SDG 13 (Climate Action), SDG 12 (Responsible Consumption and Production), and SDG 17 (Partnerships for the Goals). Using a monthly panel dataset of 25 countries from 2002 to 2025 and the newly developed Sustainability Uncertainty Index (ESGUI), we apply fixed effects regression, ANOVA, and a Difference-in-Differences framework to analyze how global ESG sentiment and international policy commitments influence national sustainability risk. The results reveal structural breaks during the 2008 global financial crisis and the post-pandemic period, alongside recurring seasonal peaks in August and December. We find that global ESG sentiment significantly drives national ESGUI scores, with spillover effects particularly pronounced in Asia, and that the 2016 Paris Agreement amplified uncertainty more in countries with stronger institutional frameworks. By highlighting how transnational sustainability narratives and institutional capacity shape ESG-related uncertainty, this study provides actionable guidance for policymakers, regulators, and corporate leaders to design context-sensitive strategies that enhance policy coherence, reduce sustainability-related risk, and accelerate progress toward the SDGs in an interconnected global economy.