A new composite climate change vulnerability index

•We study vulnerability to climate change of 141 nations.•We construct an endogenously weighted composite climate change vulnerability index.•We fail to reject the hypothesis that a component of the index can be deleted.•We locate geographically and characterize economically the most vulnerable nations. The earth’s climate is changing, with global warming attributable to anthropogenic greenhouse gas emissions driven by economic and population growth. Human systems and ecosystems vary in their exposure, mitigation and adaptive capacity, and vulnerability to various forms of climate change. Once mitigation and adaptation efforts have been exhausted, vulnerability remains. Data compiled by the University of Notre Dame covering over 100 nations in 2016 were used to construct a new composite climate change vulnerability index that features endogenously generated weights to aggregate vulnerability indices across six vulnerable sectors. These weights have the potential to inform policy aimed at allocating resources to reduce the cost of limiting vulnerability. The new composite vulnerability index, whose weights differ across sectors and across nations, is compared with the Notre Dame vulnerability index, which uses weights equal across sectors and constant across nations. Although the two indices agree on the identity of the most vulnerable nations, there is a statistically significant difference between the two indices. In addition, a nonparametric statistical test failed to reject the null hypothesis that one sectoral index could be deleted from the composite index without significant loss of information. This also has potentially important policy implications.