Was Covid-19 a wake-up call on climate risks? Evidence from the greenium

Danilo Liberati and Giuseppe Marinelli

No 832, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Building on the work by Liberati and Marinelli (2021), this paper presents a study on the greenium, i.e. the negative yield difference between green bonds and their conventional counterparts. We use a security-by-security data set comprising a large sample of green bonds exchanged on the main global security markets, integrated with the microdata employed in official statistics on security holdings and prices. After showing the existence of the greenium, we employ a twofold approach in order to contribute to the literature on this topic. Firstly, we exploit an econometric strategy based on security-level panel regressions and we find strong evidence for the existence of the greenium and for its increase following the Covid-19 shock; nonetheless, after the end of the state of emergency, we find evidence of a rebound of the greenium of different intensities depending on the issuing sector. Finally, we provide econometric evidence for a persistent excess demand in the green bond secondary market through a non-Walrasian disequilibrium model a la Maddala and Nelson (1974).

Keywords: Green bonds; greenium; Covid-19 (search for similar items in EconPapers)
JEL-codes: C33 G12 G21 Q56 (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-ene, nep-env and nep-inv
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bancaditalia.it/pubblicazioni/qef/2024-0832/QEF_832_24.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_832_24

Access Statistics for this paper

More papers in Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().