Green Bonds for the Transition to a Low-Carbon Economy
نویسندگان
چکیده
The green bond market is emerging as an impactful financing mechanism in climate change mitigation efforts. effectiveness of the financial for this transition to a low-carbon economy depends on attracting investors and removing roadblocks. This paper investigates differential performance vs non-green bonds with (1) dynamic portfolio model that integrates negative well positive externality effects via (2) econometric analyses aggregate corporate energy time-series indices; cross-sectional set individual issued between 1 January 2017, October 2020. asset pricing demonstrates that, long-run, externalities benefit through social returns. We use deterministic stochastic version approach obtain model-driven results evaluate those our empirical evidence using harmonic estimations. analysis study focuses volatility risk–return (Sharpe ratio) bonds, extends recent studies focused yield differentials bonds. A modified Sharpe ratio analysis, methods, estimations, pairing regression tree methodology, indicate tend show lower deliver superior ratios (while premia mixed). As result, investment can protect portfolios from oil price business cycle fluctuations, stabilize returns volatility. Policymakers are encouraged make benefits instruments increase flows towards sustainable economic activities accelerate transition.
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ژورنال
عنوان ژورنال: Econometrics
سال: 2022
ISSN: ['2225-1146']
DOI: https://doi.org/10.3390/econometrics10010011