On February 28, 2023, the European Union (EU) reached a political agreement on a future regulation of green bonds, the European Green Bond Standard (EU GBS). Last Friday, the European Parliament officially adopted this new regulation. The regulation aims to improve the effectiveness,...

Hundreds of millions of children are losing learning opportunities, resulting in potentially large losses in their lifetime education, health, income, and productivity. Losses in long-term earnings from preprimary program closures due to COVID-19 can be unprecedented. Acute effects are plausible...

The objective of this study is to establish understanding of the success factors in issuing green bonds including the corresponding benefits and challenges of their issuance in Lithuania. The research methodology is comprised of the three parts: (1) a literature review to examine the success...

This study analyzes the magnitude of the US monetary policy spillover on the Indonesian local currency government bond yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate (FFR) normalization, and quantitative tightening over...

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield...

Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, and CO2 emissions on daily data from January 2014 to October 2022. The WPS results show that oil returns exhibit significant volatility at low and medium...

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...

This study explores the “dark side” of the corporate green bond markets. We first document that greenwashing is not uncommon in green bond markets, as some corporates are found to have no reduction in greenhouse gas emission intensities after their initial green bond issuance. Next, we find...

We empirically analyze the impact of uninsured deposits on a bank's cost of public debt. Uninsured depositors can exert market discipline over a bank and potentially reduce its agency cost of debt through informed monitoring. We use a sample of public bond issues by U.S. bank holding companies...

Faulty ratings of mortgage-related collateralized bond obligations played a prominent role in the financial crisis of 2008. Some critics charge that the rating agencies did not merely make honest mistakes, but were hopelessly conflicted by their practice of collecting revenue from the bond...

We examine the novel phenomenon of sustainability-linked bonds (SLBs). These bonds’ coupon is contingent on the issuer achieving a predetermined sustainability performance target. We estimate the yield differential between SLBs and non-sustainable counter-factuals by matching bonds from the...

Using a structural model, we estimate the value of data to fixed income investors and study its main drivers. In the model, data is more valuable for bonds that are volatile and for which price-insensitive liquidity trades are more likely. Empirically, we find that the value of data on corporate...

The majority of bond trading around the world takes place in over-the-counter (OTC) markets where liquidity is provided by a relatively small number of financial institutions (dealers), who use their balance sheets to intermediate trades. This is in stark contrast to stock markets, where trading...

We analyze the effects of the PEPP (Pandemic Emergency Purchase Programme), the temporary quantitative easing implemented by the ECB immediately after the burst of the Covid-19 pandemic. We show that the differences in aim, size and flexibility with respect to the traditional Corporate Sector...

We investigate the effect of Confucian culture on corporate bond pricing. Using the birthplace data of 56,759 Jinshi in the Ming and Qing dynasties to construct a proxy of Confucian culture, we find a significantly negative relation between Confucian culture and bond pricing: the stronger the...

This paper is part of a dialogue with Blair Fix on how inflation redistributes income between creditors and workers and the way in which monetary policy affects this process. In his 2023 paper, 'Inflation! The Battle Between Creditors and Workers', Fix shows, first, that the impact of U.S....

This paper employs data on corporate bond mutual fund flows to investigate bond investments under low interest rates. In response to the Fed’s lower interest rate policy, we find that investment-grade bond funds receive inflows, while high-yield bond funds are not responsive. This result can...

We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...

Compared to the past literature on prediction markets that uses small-scale observational field data or experiments, this present research examines the efficiency of such markets by studying catastrophe (CAT) bonds. We collect actual catastrophe loss data, match them with the defined trigger...

We investigate the impact of credit spreads on the stochastic duration and convexity of corporate bonds with respect to the very metrics for equivalent Treasury bonds. We show that the credit spread has two interacting effects on both the duration and the convexity of a corporate coupon bond as...

The maturity mismatch problem is prevalent in the field of investment and financing of enterprises, and with the rise of green bonds, there is much attention to whether the issuance of green bonds can alleviate this problem. This paper uses the related sample data of listed companies in China...

In recent years, there has been a "green bond boom" in China's investment market. This study investigates whether and how green bond issuance affects corporate innovation in China. We build a macroeconomic growth model that includes heterogeneous corporate sectors with green products to...

Transaction costs that occur when refunding diminish the value of the call option, and their effect should be factored in at the time of issuance. One way of avoiding such costs is to issue ratchet bonds essentially one-way floaters that automatically reset lower when rates decline, thus...

In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds issued by non-US and US firms. I provide both...

Green bonds represent an important financial instrument for the allocation of financial resources towards a more climate-friendly and sustainable economy. This research evaluates and compares the financial performance of portfolios of green bonds, conventional bonds and black bonds issued on the...

This study tackles a public finance issue on climate change: a carbon tax and government bonds to finance public spending for adaptation. This type of bond is known as ``green bonds" and presents remarkable growth in the global market. We construct an asset-pricing model in which climate change...

This working paper is written by Victor Leung (Hong Kong Monetary Authority), Wilson Wan (Hong Kong Monetary Authority) and Joe Wong (Hong Kong Monetary Authority).This study explores the “dark side” of the current development of corporate green bond markets. We document that greenwashing is...

In the multinomial classification analysis, mixed frequency data issue is becoming more and more common. In order to solve the multi-classification problem in the mixed frequency data environment with a large frequency ratio, we combine the restricted mixed data sampling (MIDAS) method with the...

We analyze the corporate green bond market under a rational framework without an innate green preference, using a simple adverse selection model. Firms can use green bonds to signal their green credentials to investors. Transition risk stems from uncertainty over the introduction of carbon...

The paper investigates CDS spreads reaction to the type of issued bonds, green or conventional. We use an event study based on the CDS spreads reaction for the green bond issuance. First, we find that there is a green bond effect. That is, CDS spreads decline when a green bond is issued,...

This study tackles a public finance issue on climate change: a carbon tax and government bonds to finance public spending for adaptation. This type of bond is known as “green bonds” and presents remarkable growth in the global market. We construct an asset-pricing model in which climate...

War-related expectations cause changes to investors' risks and returns preferences. In this study, we examine the implications of war and sanctions sentiment for the G7 countries' debt markets during the Russia-Ukraine war. We use behavioral indicators across social media, news media, and...