European government green bonds: analysis of yield behaviour determinants

Jelena Basaric
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Jelena Basaric: National Bank of Serbia

Working Papers Bulletin from National Bank of Serbia

Abstract: The subject of this paper are euro denominated green bonds issued by European governments. The aim is to determine the impact that: (1) volatility index of S&P 500 index – VIX, (2) six-month EURIBOR, (3) remaining maturity of the bond, (4) issuer’s credit rating and (5) absence of an independent external opinion on compliance of the green bond framework with the Green Bond Principles have on green bond yields, as well as whether yields of these bonds provide premium called greenium. Panel regression results show that higher values of volatility index VIX, 6M EURIBOR, a longer remaining maturity of the bond and the absence of an independent external opinion on compliance of the green bond framework with the Green Bond Principles lead to an increase in green bond yields, while a higher credit rating allows for a lower required yield. Additionally, a comparison of green and conventional bonds does not show the existence of a greenium.

Keywords: green bonds; greenium; sustainability (search for similar items in EconPapers)
JEL-codes: C10 C21 C22 C23 G10 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2022-09
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