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上海大学学报(社会科学版) ›› 2024, Vol. 41 ›› Issue (4): 79-99.

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信用利差视角下绿色债券发行的行业溢出效应 

  

  1. 上海大学 经济学院
  • 出版日期:2024-07-15 发布日期:2024-07-15
  • 作者简介:倪中新（1975-），男，山东沂水人。上海大学经济学院教授、博士生导师。研究方向：金融计量经济、量化投资分析、资产定价。 吴相龙（1999-），男，河南驻马店人。上海大学经济学院硕士研究生。研究方向：绿色金融、资产定价。 巫景飞（1975-），男，广东普宁人。上海大学经济学院产业经济研究中心副教授。研究方向：产业经济学、基金投资分析。
  • 基金资助:
    国家自然科学基金项目（72073092）

Spillover Effects of Green Bond Issuance from the Perspective of Credit Spreads

  1. School of Economics, Shanghai University
  • Online:2024-07-15 Published:2024-07-15

摘要：

绿色金融对推动社会生产绿色化、低碳化，充分发挥金融市场的宏观和微观调节作用意义重大。基于 2015—2019 年公司信用债的样本数据，通过交错双重差分法，可对行业首次发行绿色债券对二级市场中普通债券信用利差的影响及作用机制进行经验分析。研究发现，行业首次发行绿色债券使得二级市场中同行业公司普通债券的信用利差降低，存在行业溢出效应，且信用利差降低程度在机构持仓比例较高、资本密集度较高、地区环境规制较高、经济政策不确定性较高的债券样本中表现更高。机制检验显示，行业首次发行绿色债券通过降低同行业公司的债务成本对同行业公司普通债券信用利差产生影响，而通过促进同行业公司发行绿色债券进而对同行业公司普通债券信用利差的间接作用不明显。进一步研究表明，行业首次发行绿色债券使得同行业公司普通债券在十五个交易日的事件窗口期内产生了超额回报率，引起了债券市场的即时响应和滞后响应。从信用利差视角识别行业首次发行绿色债券在二级市场产生的溢出效应，对推动实体经济发展、优化金融资源配置和建设高质量债券市场具有参考意义。

关键词: 信用利差, 绿色债券, 溢出效应, 债务成本

Abstract:

Green financial policies are of great significance in achieving green and low-carbon transformation of the economy, and in leveraging the macro and micro regulatory functions of the financial market. Based on the circulation price data of companies’credit bonds in 2015-2019, this paper has used the staggered DID method to study whether the first issuance of corporate green bonds in respective industry has effects on the credit spreads of bonds issued by peer firms in the secondary market. The research results indicate: the credit spreads of peer firms’bonds in the secondary market decrease after these first issuances of corporate green bonds, which strongly prove the positive industry spillover effect. Further, we find that higher institutional holding ratios of the bond, higher capital intensity of the firm, stricter regional environmental regulations, and higher economic policy uncertainty reinforce the reduction of the peer bonds’credit spreads. Through the impact mechanism test, it is found that these first issuances of corporate green bonds affect the credit spreads of peer firms’bonds by promoting the reduction of peer firm’s debt financing cost. At the same time, we find that these first issuances of corporate green bonds lead their peer firms to issue green bonds, but the following green bonds issued by peer firms didn’t obviously affect the credit spreads of their issuers’bonds. Finally, this paper had used the event study method to calculate abnormal returns of bonds to measure the market responses to the first issuances of corporate green bonds. The result of this further research is that peer firms’bonds can gain cumulative abnormal return in the 15-day event window period. This paper examines the positive spillover effect from each first issuance of corporate green bonds in their industries to their peer bonds’ credit spreads from the perspective of the secondary market. The conclusion of this paper has reference significance for promoting the development of the real economy, optimizing the allocation of financial resources

and promoting the high-quality development of the bond market.

Key words: credit spreads, green bond, spillover effect, debt financing cost

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