Liquidity Risk and Yield Spreads of Green Bonds

Febi Wulandari, Dorothea Schäfer, Andreas Stephan and Chen Sun
Authors registered in the RePEc Author Service: Febi Jensen (Wulandari) ()

No 1728, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Keywords: Green Bond; Liquidity Risk; Yield Spread; Sustainable Investment; Fixed Income Security; Financial Innovation (search for similar items in EconPapers)
JEL-codes: G12 G32 (search for similar items in EconPapers)
Pages: 22 p.
Date: 2018
New Economics Papers: this item is included in nep-ene, nep-env and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.581089.de/dp1728.pdf (application/pdf)

Related works:
Working Paper: Liquidity risk and yield spreads of green bonds (2018)
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:diw:diwwpp:dp1728

Access Statistics for this paper

More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().