Stochastic behavior of green bond premiums

IF 7.5 1区 经济学 Q1 BUSINESS, FINANCE
Takashi Kanamura
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Abstract

This paper aims to examine the stochastic behavior of green bond premiums that can characterize the benefits of green bonds. We propose a novel affine model of green bond pricing with mean-reverting interest rates and green bond premiums and a new model parameter estimation method using conventional and green bond prices to capture the stochastic behavior. Then, the model parameter estimation results demonstrate mean-reverting stochastic behavior for conventional bond yield and green bond premium using the US and EU green bond indices for Corporate and three corporate bond indices for intermediate, total, and long-term periods of the Bloomberg Fixed Income Indices from November 3, 2014 to December 11, 2020. Comparative statics using simulated green bond premiums show that green bond premiums orient toward negative values in nature. Moreover, the stochastic behavior of green bond premiums demonstrates that the greenness of green bonds has a downward effect on interest rates in COVID-19 and has a mitigating impact on liquidity risk in corporate bond markets. These results confirm the benefits of green bonds. Finally, the discussions secure the validity of the green bond pricing model by conducting econometric analyses of the regime-switching model, principal component analyses, and the GARCH (1,1) model.
绿色债券溢价的随机行为
本文旨在研究绿色债券溢价的随机行为,以表征绿色债券的收益。本文提出了一种新的含利率均值回归和绿色债券溢价的仿射绿色债券定价模型,以及一种利用传统债券和绿色债券价格来捕捉随机行为的模型参数估计方法。然后,利用2014年11月3日至2020年12月11日期间美国和欧盟的企业绿色债券指数以及彭博固定收益指数的中期、总期和长期三个公司债券指数,模型参数估计结果显示了传统债券收益率和绿色债券溢价的均值回归随机行为。使用模拟绿色债券溢价的比较静态数据表明,绿色债券溢价在本质上趋向于负值。此外,绿色债券溢价的随机行为表明,绿色债券的绿色度对新冠肺炎疫情下的利率有下降作用,对公司债券市场的流动性风险有缓解作用。这些结果证实了绿色债券的好处。最后,通过对制度转换模型、主成分分析和GARCH(1,1)模型进行计量分析,验证了绿色债券定价模型的有效性。
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
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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