This study investigates the nonlinear and regime-dependent relationship between climate policy uncertainty (CPU) and sovereign credit default swap (CDS) spreads across a panel of developed and emerging economies from February 2010 to March 2025. Utilizing the Quantile-on-Quantile Regression (QQR) and Multivariate QQR (MQQR) frameworks, we capture the heterogeneous effects of CPU under varying market states and assess the marginal role of global risk factors, including geopolitical risk (GPR), economic policy uncertainty (EPU), and market volatility (VIX). The findings indicate that in developed markets, CPU exerts a nonlinear impact that intensifies during periods of heightened sovereign risk, while in low-risk regimes, its effect is often muted or reversed […]