绿色债券的定价：Greenium动态和散户投资者的作用

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-09-20 DOI:10.1016/j.intfin.2025.102211

Allegra Pietsch , Dilyara Salakhova

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引用次数: 0

摘要

近年来，由于全球对气候变化的意识日益增强，绿色债券市场经历了快速增长。然而，二级市场中“绿价”（与绿色债券相关的溢价）的存在、规模及其背后的驱动力仍存在争议。本研究调查了2016年至2023年欧元区的greenium演变，其中包括一段重大宏观经济转变时期，包括COVID-19大流行、能源危机，以及随后的通胀加剧和货币紧缩时期。我们的分析采用k-原型匹配算法构建了一个欧洲绿色债券和传统债券的紧密匹配面板，并记录了一个新颖的发现，即散户投资者对绿色债券的需求在一定程度上推动了绿色债券。散户投资者的财务状况对宏观经济形势的敏感性，特别是紧缩的货币政策，可以解释投资者对绿色债券的兴趣，从而解释绿期动态。最后，我们证实了投资者对绿色债券的偏好，债券和债券发行人的信誉都较高。

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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Pricing of green bonds: Greenium dynamics and the role of retail investors

The green bond market has experienced rapid growth in recent years, driven by increasing global awareness of climate change. However, the existence, magnitude and driving forces behind the “greenium” in the secondary market – a price premium associated with green bonds – remain subject to debate. This study investigates the evolution of the greenium in the euro area from 2016 to 2023, encompassing a period of significant macroeconomic shifts, including the COVID-19 pandemic, energy crisis, and the subsequent period of heightened inflation and monetary tightening. Our analysis applies a k-prototypes matching algorithm to construct a closely matched panel of European green and conventional bonds and documents a novel finding that retail investors’ demand for green bonds partly drives the greenium. Sensitivity of retail investors’ financial conditions to the macroeconomic situation and particularly tighter monetary policy may explain investors’ appetite for green bonds and thus the greenium time dynamics. Finally, we confirm investors’ preferences for green bonds with higher credibility of both bonds and bond issuers.

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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.