Sovereign green bonds: Risk-mitigating sustainability instruments in emerging markets
研究了2017至2023年间44个国家168只主权可持续债券的定价，发现新兴经济体的绿色债券存在约10个基点的负溢价，表明绿色标签能降低感知风险和信息不对称。
Sovereign green bonds have emerged as a prominent policy instrument to mobilize climate finance, yet evidence on their pricing implications, especially across development levels and relative to unlabeled sustainability bonds, remains limited. This study provides the first global, bond-level analysis of sovereign green and sustainability bond pricing in secondary markets across advanced and emerging economies. Using Bloomberg data on 168 sovereign sustainability bonds issued between 2017 and 2023 across 44 countries, the analysis employs coarsened exact matching to estimate the greenium for green-labeled as well as unlabeled bonds. The results reveal strong regional heterogeneity. In advanced economies, sovereign green bonds trade at a positive yield premium of 20–40 basis points. In contrast, EMDEs exhibit a significant sovereign greenium of approximately 10 basis points for green-labeled bonds, alongside a positive premium for unlabeled sustainability bonds. This suggests that green labeling is associated with lowered perceived risk and informational asymmetry. This is especially true for riskier countries, speculative-grade bonds, and during periods of financial volatility. Overall, the results highlight that while sovereign green bonds may act as effective risk-mitigating instruments for climate finance in emerging economies, institutional heterogeneity and market structures have a role to play in shaping sustainability bond issuances.