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European government green bonds: analysis of yield behaviour determinants

Author

Listed:
  • Jelena Basaric

    (National Bank of Serbia)

Abstract

The subject of this paper are euro denominated green bonds issued by European governments. The aim is to determine the impact that: (1) volatility index of S&P 500 index – VIX, (2) six-month EURIBOR, (3) remaining maturity of the bond, (4) issuer’s credit rating and (5) absence of an independent external opinion on compliance of the green bond framework with the Green Bond Principles have on green bond yields, as well as whether yields of these bonds provide premium called greenium. Panel regression results show that higher values of volatility index VIX, 6M EURIBOR, a longer remaining maturity of the bond and the absence of an independent external opinion on compliance of the green bond framework with the Green Bond Principles lead to an increase in green bond yields, while a higher credit rating allows for a lower required yield. Additionally, a comparison of green and conventional bonds does not show the existence of a greenium.

Suggested Citation

  • Jelena Basaric, 2022. "European government green bonds: analysis of yield behaviour determinants," Working Papers Bulletin 11, National Bank of Serbia.
    • Handle: RePEc:nsb:bilten:11
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    File URL: https://www.nbs.rs/documents-eng/publikacije/wp_bulletin/wp_bulletin_09_22_3.pdf
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    More about this item

    Keywords

    green bonds; greenium; sustainability;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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