Measuring the effect of government ESG performance on sovereign borrowing cost

Patricia Crifo, Marc-Arthur Diaye () and Rim Oueghlissi
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Marc-Arthur Diaye: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, UP1 UFR27 - Université Paris 1 Panthéon-Sorbonne - UFR Mathématiques & Informatique - UP1 - Université Paris 1 Panthéon-Sorbonne
Rim Oueghlissi: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne

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Abstract: We examine whether the extra-financial performance of countries on environmental, social and governance (ESG) factors matters for sovereign bonds markets. Using a panel regression model over a data set with 23 OECD countries from 2007 to 2012, we show that ESG ratings significantly decrease government bond spreads.

Keywords: Extra-financial ratings; ESG performance; Government bond spreads (search for similar items in EconPapers)
Date: 2017-11
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Published in Quarterly Review of Economics and Finance, 2017, 66, pp.13-20. ⟨10.1016/j.qref.2017.04.011⟩

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Related works:
Working Paper: Measuring the effect of government ESG performance on sovereign borrowing cost (2017)
Working Paper: Measuring the effect of government ESG performance on sovereign borrowing cost (2015)
Working Paper: Measuring the effect of government ESG performance on sovereign borrowing cost (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01549820

DOI: 10.1016/j.qref.2017.04.011

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