The preferential treatment of green bonds

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2023-12-01 DOI:10.1016/j.red.2023.06.006

Francesco Giovanardi , Matthias Kaldorf , Lucas Radke , Florian Wicknig

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Abstract

We study the preferential treatment of green bonds in the central bank collateral framework as a climate policy instrument within a DSGE model with climate and financial frictions. In the model, green and carbon-emitting conventional firms issue defaultable corporate bonds to banks that use them as collateral, subject to haircuts determined by the central bank. A haircut reduction induces firms to increase bond issuance, investment, leverage, and default risk. Collateral policy solves a trade-off between increasing collateral supply, adverse effects on firm risk-taking, and subsidizing green investment. Optimal collateral policy is characterized by a haircut gap of 20 percentage points, which increases the green investment share and reduces emissions. However, welfare gains fall well short of what can be achieved with optimal carbon taxes. Moreover, due to elevated risk-taking of green firms, preferential treatment is a qualitatively imperfect substitute of Pigouvian taxation on emissions: if and only if the optimal emission tax can not be implemented, optimal collateral policy features a preferential treatment of green bonds.

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绿色债券的优惠待遇

我们在一个具有气候和金融摩擦的 DSGE 模型中研究了在中央银行抵押品框架内作为气候政策工具的绿色债券的优惠待遇。在该模型中，绿色和碳排放的传统企业向银行发行可违约公司债券，银行将其作为抵押品，但须遵守中央银行确定的扣减率。扣减诱导企业增加债券发行、投资、杠杆率和违约风险。抵押品政策解决了增加抵押品供应、对企业承担风险的不利影响以及补贴绿色投资之间的权衡问题。最佳抵押品政策的特征是 20 个百分点的扣减差距，这将增加绿色投资份额并减少排放。然而，福利收益远低于最佳碳税所能达到的水平。此外，由于绿色企业的风险承担能力较强，优惠待遇在质量上并不能完全替代猪排放税：如果且仅当最优排放税无法实施时，最优抵押品政策才会对绿色债券给予优惠待遇。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Economic Dynamics ECONOMICS-

CiteScore

3.30

自引率

0.00%

发文量

期刊介绍： Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.