Research On The Factors Affecting The Credit Spread Of Green Bonds

Since the reform and opening up,China’s economy has developed rapidly.However,due to the extensive economic development in the early stage,it has brought about major problems such as environmental pollution,ecological damage,and resource shortage.These problems have become an important factor restricting the further development of China’s economy.As a national strategy,the concept of green development plays a significant role in promoting sustainable economic development.In this context,the booming green industry is also receiving more and more attention from all walks of life.The development of green industry requires sufficient capital support,so green financing tools came into being.As one of the direct financing methods of enterprises,green bonds are flexible,easy to innovate and low in cost.They are highly valued by relevant enterprises and researchers in the green field.Currently,China’s green bond market is second only to the United States and the second largest green bond market in the world.While sustainable investment is very popular in the stock market,green bonds are a relatively new concept.For investors,the most concern is investment risk and return on investment,both of which can be reflected in the level of credit spreads.Therefore,this paper focuses on the factors affecting the spread of green bond credit spreads.Firstly,based on the analysis of domestic and foreign bond spread related literature,this paper extracts the main factors affecting the green bond spread according to the credit risk pricing theory and the liquidity premium related theory,and divides it into macroeconomic indicators.Micro-enterprise indicators and liquidity indicators.Secondly,this paper excludes private debts and interest rate bonds in China’s green bond market,selects credit bonds that meet certain conditions as samples,and uses the mixed OLS model to conduct basic empirical research.This part is the research basis of this paper.After that,this paper considers the factors of the characteristics of the green bond issuance enterprise,and uses the issuer’s credit rating and the issuer’s company attribute as the characteristics indicators of the green bond issuer to explore whether the corporate characteristics will affect the green bond credit spread.Finally,this paper strictly controls other relevant variables.From the previous sample,select the eligible bond sample of the green bond sample that matches the condition,and whether the bond is the dummy variable of the green bond in the original model,and discuss the green color compared to the ordinary bond.Whether the green nature of the bond will have a premium on the credit spread.Through the above research process,the paper draws the following conclusions: First,in terms of macroeconomic indicators,the green bond credit spread is affected by GDP and currency issuance,and the increase in GDP will reduce the green debt.Credit spreads,while the increase in currency issuance will increase the spread of green bond credits,and will be more affected by currency issuance.Stock market returns and stock market volatility will have an impact on green bond credit spreads,with stock market returns and greens.Bond credit spreads are negatively correlated,while stock market volatility is positively correlated with green bond credits.Second,in terms of micro-enterprise variables,the green bond credit spreads only shrink as the company’s profitability increases,and it is not sensitive to leverage ratios and operational capabilities.Thirdly,in terms of liquidity,the bond liquidity index represented by the remaining maturity period and the green bond credit spread are not significant,but the 7-day pledged repo rate and green bond credit of the interbank market that characterizes market liquidity The spreads are significantly positively correlated,indicating that the green debt credit spreads are indeed affected by market liquidity.Fourth,when the credit rating of green bond issuers is higher,the green bond credit will be significantly reduced,which is consistent with the research conclusions of traditional bonds.At the same time,compared with nonstate-owned enterprises,the green bonds issued by state-owned enterprises will have lower credit.Spreads,this shows that the government’s green bond market also has the problem of government “invisible guarantee”.The fifth paper proves that compared with traditional bonds,green bonds have a green premium of-0.005% at the 10% statistical level,and the green premium of green bonds proves that investors’ environmental preferences exist in China’s green bond market,but at the same time this part The premium is too small,proving that environmental preferences have not yet been fully reflected in the market.This paper is divided into five parts:The first part is the introduction.It mainly expounds the research background and significance,research ideas and framework of this paper and the innovationThe second part is a literature review.Firstly,it introduces the domestic and foreign research on bond credit spread theory.Then,based on the factors affecting the credit spread of traditional bonds,it conducts domestic and foreign literatures from the perspectives of macro influencing factors,micro influencing factors and liquidity influencing factors.Combing and summarize;once again,introduce the general review of the literature on the characteristics of issuing companies;finally,explain the definition and theoretical research on green bonds at home and abroad,and finally introduce the literature on the factors affecting the credit spread of green bonds.The article’s influencing factors extraction and hypothesis setting lay the theoretical foundation.The third part is the empirical research design.Firstly,the economic theory and literature review research,the research hypothesis of this paper is proposed,and then the sample selection is carried out.Then the definitions of each variable are explained and summarized.Finally,the basic model and derivative model of the factors affecting the credit spread of green bonds are constructed.The fourth part is the empirical results and analysis.The first pair of selected indicators are descriptive statistics and correlation tests,the second is to establish a basic model of the impact factors of green bonds and analyze,the third is to introduce the issuer’s credit rating dummy variables and the issuer’s company attribute dummy variables,and study the issuer’s characteristics to green The impact of bond credit spreads.Fourthly,the virtual variable is added to the virtual model in the basic model to study the green premium.Finally,the robustness test is carried out to ensure the accuracy and completeness of the model.Through this part,the relevant conclusions of this paper are obtained.The fifth part is the research conclusions and prospects.Firstly,the results of empirical research are expounded,and relevant suggestions for the future development direction of green bonds in China are put forward according to the results.Secondly,the shortcomings in the research process of the article are summarized,and the improvement direction is provided for the later research.