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LUND UNIVERSITY LIBRARIES

Signaling Green - The Effects of the ECB’s Asset Purchase Programme on the Green Bond Market

Stukenborg, Kevin Malte LU and Olin, Lukas LU (2020) BUSN79 20201
Department of Business Administration
Abstract
Purpose: The purpose of this study is to investigate whether the ECB’s Asset Purchase Programme has affected the yield spread of eligible green bonds. One further aim is to investigate if the partial effect of bond liquidity on the yield spread among these green bonds is associated with their eligibility for purchase by the ECB Asset Purchase Programme.
Methodology: The econometric methodology is based upon a panel data setup, where OLS-regressions with random effects were conducted. An instrumental variable is introduced, as well as an interaction term to test for endogeneity and partial effects. Lastly, four gradual control variables are included as a robustness check to stress-test the model specifications.
Empirical Foundation: The... (More)
Purpose: The purpose of this study is to investigate whether the ECB’s Asset Purchase Programme has affected the yield spread of eligible green bonds. One further aim is to investigate if the partial effect of bond liquidity on the yield spread among these green bonds is associated with their eligibility for purchase by the ECB Asset Purchase Programme.
Methodology: The econometric methodology is based upon a panel data setup, where OLS-regressions with random effects were conducted. An instrumental variable is introduced, as well as an interaction term to test for endogeneity and partial effects. Lastly, four gradual control variables are included as a robustness check to stress-test the model specifications.
Empirical Foundation: The sample of this study consists of 484 green bonds issued from 2013 to 2019, that all comply with the Green Bond Principle (GBP) framework.
Conclusions: This study finds a significant reduction of the yield spread among ECB-eligible green bonds of approximately -76 bps during the study period. Furthermore, a significant decrease is found in partial effects of the liquidity on the yield spread, suggesting that the APP has increased the trading liquidity among eligible green bonds. (Less)
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author
Stukenborg, Kevin Malte LU and Olin, Lukas LU
supervisor
organization
course
BUSN79 20201
year
type
H1 - Master's Degree (One Year)
subject
keywords
Green Bonds, Fixed Income Securities, ECB Asset Purchase Programme, Instrumental Variable, Signaling
language
English
id
9022663
date added to LUP
2020-08-21 14:04:51
date last changed
2020-08-21 14:04:51
@misc{9022663,
  abstract     = {{Purpose: The purpose of this study is to investigate whether the ECB’s Asset Purchase Programme has affected the yield spread of eligible green bonds. One further aim is to investigate if the partial effect of bond liquidity on the yield spread among these green bonds is associated with their eligibility for purchase by the ECB Asset Purchase Programme.
Methodology: The econometric methodology is based upon a panel data setup, where OLS-regressions with random effects were conducted. An instrumental variable is introduced, as well as an interaction term to test for endogeneity and partial effects. Lastly, four gradual control variables are included as a robustness check to stress-test the model specifications.
Empirical Foundation: The sample of this study consists of 484 green bonds issued from 2013 to 2019, that all comply with the Green Bond Principle (GBP) framework.
Conclusions: This study finds a significant reduction of the yield spread among ECB-eligible green bonds of approximately -76 bps during the study period. Furthermore, a significant decrease is found in partial effects of the liquidity on the yield spread, suggesting that the APP has increased the trading liquidity among eligible green bonds.}},
  author       = {{Stukenborg, Kevin Malte and Olin, Lukas}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Signaling Green - The Effects of the ECB’s Asset Purchase Programme on the Green Bond Market}},
  year         = {{2020}},
}