We provide empirical evidence that the pricing of green bonds tends to be highly sophisticated and based on a two-tiered approach. When buying a green bond, investors do not look only at the presence of a green label, but also consider additional characteristics of the bond that involve the...

Global warming remains one of the greatest threats to the sustainability of the planet. The literature is replete with studies investigating the economic effects of global warming with very little attention being paid to the financial ramifications. To this end, the present study attempts to...

Donald Trump's re-election and renewed exit from the Paris Agreement marked a deterioration in the US green bond market. Using a difference-in-differences approach, we estimate a 4.4-6.0 percentage point drop in issuance probability and a USD 20-28 million decline in monthly green-issuance...

This paper examines the determinants of bond issuance in the Chinese market and the influence of capital structure-in particular direct debt finance-on firm performance and the cost of debt. The results reveal that institutional factors in the Chinese market, in particular the involvement of the...

This paper examines the historical development and cross-sectional heterogeneities of Financial Market Infrastructure (FMI). From an evolutionary perspective, we review and compare FMIs in the US, Europe, and China. We identify an emerging trend in which the development of FMI is transitioning...

I provide the first systematic analysis of collateral choices in one of the main short-term funding markets, the repurchase agreement (repo) market. In repos, long-term bonds serve as collateral connecting short-term and long-term funding markets. In general collateral repos, banks can choose...

Do sovereign credit ratings take into account physical and transition climate risks? This paper empirically addresses this question using a panel dataset that includes a large sample of countries over two decades. The analysis reveals that higher temperature anomalies and more frequent natural...

This study develops an integrated risk modeling framework to assess capital adequacy and optimize portfolio performance for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value theory, and dynamic R-vine copulas, the framework...

The European Union's regional integration serves as a model for blocs such as the D-8 Organisation for Economic Cooperation, which aims to enhance financial and economic integration. This study employs wavelet coherence analysis to examine the interrelations between exchange rates, bond yields,...

This study estimates the zero-coupon yield curves for Turkish government nominal bonds from February 2005 to June 2022 using the Nelson-Siegel-Svensson parametric model. We implement a weighting scheme in the objective function, where squared pricing errors are weighted by the inverse of the...

This paper investigates the long-horizon predictive variance of an international bond strategy where a U.S. investor holds unhedged positions in constant-maturity long-term foreign bonds funded at domestic short-term interest rates. Using over two centuries of data from major economies, the...

The report examines the role of Islamic finance in the sustainable and climate finance markets by exploring market trends, instruments, and innovations across the Organization of Islamic Cooperation (OIC) member countries. The report draws on insights from surveys conducted with Islamic finance...

Small-scale wind turbines are essential energy sources for hospitals because they have several advantages, such as lower maintenance costs and the possibility of customization. However, small-scale wind energy projects often have high capital requirements. Many factors affect the performance of...

This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and...

This paper investigates the existence, magnitude and drivers of the sovereign greenium: the yield discount on sovereign and quasi-sovereign green bonds relative to conventional bonds. Using a dataset of 332 matched pairs of green and conventional bonds issued between 2014 and 2023 by sovereigns,...

This study applies machine learning methods to predict the Canadian yield curve using a comprehensive set of macroeconomic variables. Lagged values of the yield curve and a wide array of Canadian and international macroeconomic variables are utilized across various machine learning models....

How can the euro area's return to fiscal sustainability be organised in view of soaring debt levels and the sovereign debt crisis? How can debts be financed efficiently, not least to prevent debt crises in weaker countries where high debt levels compounded by a hike in risk premiums on...

This paper presents a methodology for incorporating a regime-based approach to portfolio optimisation, specifically for fixed income portfolios. By segmenting the market into distinct periods or "regimes" characterised by different market conditions, such as high or low volatility, investors can...

This study examines the impacts of bitcoin price (BTP), crude oil price (COP), and economic policy uncertainty (EPU) on China's green bonds (GBs) in a period from 2014: M10 to 2024: M04 using the quantile autoregressive distributed lag model. Results demonstrate that BTP and EPU positively and...

Presently, financial portfolio managers lack a solid basis for building a reliable risk management strategy for green debt instrument investments due to the lack of compelling growth and resilience data. Therefore, this study assesses the role of green bonds in financial markets by assessing and...

Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show empirically that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data...