Green bond issuance and credit risk: International evidence

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-07-01 DOI:10.1016/j.intfin.2024.102013

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Abstract

We present the first empirical study of the impact of corporate green bond issuance announcements on issuer credit risk, as measured by their CDS spreads. We use a broad international sample of 1,048 green bonds issued between 2013 and 2022 by 200 entities from 26 countries. Our analysis reveals a significant, though not uniform, reaction in the CDSs. The sector of activity emerges as a critical determinant, particularly with respect to environmental exposure. While sectors highly exposed to environmental risk exhibit a reduction in issuer credit risk, all others, especially financial entities, react in the opposite direction. Our study highlights that the impact on credit risk is influenced by several other factors, including the issuer’s overall ESG score, its E score, and various country-level metrics such as development level, environmental performance and political rights. We also identify other factors that affect credit risk, such as green bond ratings and operating cash flow.

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绿色债券发行与信用风险：国际证据

我们首次就企业绿色债券发行公告对发行人信用风险的影响（以其 CDS 利差衡量）进行了实证研究。我们使用了一个广泛的国际样本，其中包括来自 26 个国家的 200 个实体在 2013 年至 2022 年间发行的 1,048 种绿色债券。我们的分析揭示了 CDS 的显著反应，尽管这种反应并不一致。活动部门是一个关键的决定因素，尤其是在环境风险方面。受环境风险影响较大的行业会降低发行人的信用风险，而所有其他行业，尤其是金融实体，则会出现相反的反应。我们的研究强调，对信用风险的影响还受到其他几个因素的影响，包括发行人的总体环境、社会和公司治理得分、E 得分以及各种国家级指标，如发展水平、环境绩效和政治权利。我们还发现了影响信用风险的其他因素，如绿色债券评级和经营现金流。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.

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