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Liquidity risk and yield spreads of green bonds
Jönköping University, Sweden.
Jönköping University, Sweden;DIW Berlin, Germany;CERBE, Italy.
Jönköping University, Sweden;DIW Berlin, Germany;The Ratio Institute, Sweden.ORCID iD: 0000-0001-5776-9396
Jönköping University, Sweden.
2018 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Berlin: DIW Berlin, German Institute for Economic Research , 2018. , p. 22
Series
Discussion Papers ; 1728
Keywords [en]
Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation, Economics, Nationalekonomi
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-108043OAI: oai:DiVA.org:lnu-108043DiVA, id: diva2:1611131
Available from: 2021-11-13 Created: 2021-11-13 Last updated: 2021-12-07Bibliographically approved

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Stephan, Andreas

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CiteExportLink to record
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