Azhgaliye a, Dina; Kapsalyamo a, Zhanna
Wo king Pape
Global shocks and g een bonds issuance: An empi ical
e idence om i m-le el panel da a
ADBI Wo king Pape , No. 1447
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Asian De elopmen Bank Ins i u e (ADBI), Tokyo
Sugges ed Ci a ion: Azhgaliye a, Dina; Kapsalyamo a, Zhanna (2024) : Global shocks and g een
bonds issuance: An empi ical e idence om i m-le el panel da a, ADBI Wo king Pape , No. 1447,
Asian De elopmen Bank Ins i u e (ADBI), Tokyo,
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ADBI Wo king Pape Se ies
GLOBAL SHOCKS AND GREEN BONDS
ISSUANCE: AN EMPIRICAL EVIDENCE
FROM FIRM-LEVEL PANEL DATA
Dina Azhgaliye a and Zhanna Kapsalyamo a
No. 1447
May 2024
Asian De elopmen Bank Ins i u e
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Sugges ed ci a ion:
Azhgaliye a, D. and Z. Kapsalyamo a. 2024. Global Shocks and G een Bonds Issuance: An
Empi ical E idence om Fi m-Le el Panel Da a. ADBI Wo king Pape 1447. Tokyo: Asian
De elopmen Bank Ins i u e. A ailable: h ps://doi.o g/10.56506/EWVX8548
Please con ac he au ho s o in o ma ion abou his pape .
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Dina Azhgaliye a is a senio esea ch ellow, Asian De elopmen Bank Ins i u e, Tokyo,
Japan. Zhanna Kapsalyamo a is an assis an p o esso , Depa men o Economics,
Naza baye Uni e si y, Nu -Sul an, Kazakhs an.
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ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
Abs ac
This pape in es iga es he de e minan s o co po a e g een bond issuance using annual
i m-le el da a o 300 issue s o g een bonds, which issued g een bonds o e he pe iod
2017–2021. Using he Poisson ixed-e ec s models we ind ha bond-speci ic cha ac e is ics,
such as ma u i y, coupon a e, and cu ency a e impo an de e minan s o he g een bond
issuance. Issue s o g een bonds p e e longe ma u i y. Thus, go e nmen s can p omo e
g een bonds by s imula ing demand o hem om long- e m in es o s such as pension
unds. The issuance o g een bonds in EURO, USD, CNY, JPY, SEK cu encies has a
posi i e impac on hei issuance. Go e nmen s can p omo e g een bonds by s imula ing
local demand o hem, ha way issuance in local cu ency will be mo e a ac i e. O
go e nmen s can make i easie o inance g een p ojec s using g een bonds in o eign
cu ency by denomina ing e enues o o eign cu ency using policy ins umen s, such as a
eed-in a i . Mo e g een bonds a e issued wi h a highe coupon a e o a ac su icien
demand o hem. Thus, policies ha inc ease e enue om g een p ojec s, such as eed-in
a i s o subsidized loans, can p omo e inancing p ojec s using g een bonds. The e ec o
he COVID-19 pandemic is posi i e bu insigni ican .
Keywo ds: g een bonds, COVID-19, g een inance, bond ma u i y, coupon a e, cu ency
JEL Classi ica ion: G15, G18, G28, G38
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
Con en s
1. INTRODUCTION .......................................................................................................... 1
2. LITERATURE REVIEW ................................................................................................ 2
3. DATA ............................................................................................................................ 3
4. METHODOLOGY ......................................................................................................... 4
4.1 G een Bond Cha ac e is ics ............................................................................. 5
4.2 Fi m Cha ac e is ics ......................................................................................... 6
5. RESULTS ..................................................................................................................... 6
5.1 Main Resul s ..................................................................................................... 6
5.2 Robus ness Check ........................................................................................... 8
6. CONCLUSION ............................................................................................................. 9
REFERENCES ...................................................................................................................... 11
APPENDIX A ......................................................................................................................... 14
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
1
1. INTRODUCTION
Human-induced clima e change has inc eased he p obabili y o ex eme e en s such
as hea wa es, d ough , hea y ain all e en s, s o ms, and hu icanes (IPCC 2021).
Limi ing global wa ming o 1.5°C equi es signi ican in es men s (IPCC 2022). G een
bonds could play an e ec i e ole in d awing inancial esou ces owa d add essing
such challenges. Howe e , global shocks, such as he COVID-19 pandemic, wa
con lic s, e c. pose isks o he u he de elopmen o he g een bond ma ke (Na ayan
2020). The e ec s o such shocks on he issuance o co po a e g een bonds a e
unde s udied.
This pape p o ides a comp ehensi e quan i a i e assessmen o he COVID-19
pandemic on he issuance o g een bonds a he i m le el. The li e a u e on he
e ec s o global shocks on he issuance o co po a e g een bonds is limi ed in scope.
Exis ing s udies in es iga e he e ec s o oil p ice shocks on g een bonds issuance
(Azhgaliye a, Kapsalyamo a, and Mish a 2022), dis inguishing be ween c ude oil
supply and demand shocks. Azhgaliye a, Kapsalyamo a, and Mish a (2022) ind ha
bo h demand and supply shocks leading o he inc ease in he oil p ices inc ease he
issuance o co po a e g een bonds. Yang e al. (2022), s udying he e ec s o a med
con lic s on enewable ene gy inance, ind a nega i e e ec o he con lic s on
enewable ene gy inance and g een inno a ion. Flamme (2021) s udies h ee majo
incen i es o issue co po a e g een bonds, such as “signaling,” “g eenwashing,” and
“cos o capi al” a gumen s. Companies issue g een bonds because hey wan o send
he signals ega ding hei en i onmen al commi men (“signaling a gumen ”), o hey
would a he p e e o p esen hemsel es as en i onmen ally esponsible wi hou
unde aking any igo ous commi men s (“g eenwashing a gumen ”), o ge access o
cheape inancing (“cos o capi al a gumen ”). Flamme (2021) inds ha co po a e
g een bonds play a ole in signaling he en i onmen al commi men o he companies
and does no ind any e idence o “g eenwashing.”
We use annual da a om g een bond-issuing i ms o e he pe iod 2017 o 2021. The
da a a e sou ced om he Bloombe g e minal and Compus a da ase by he Wha on
Resea ch Da a Se ices. We include bonds ha a e labeled “g een,” which a e bonds
ha use he p oceeds o g een p ojec s (Clima e Bonds Ini ia i e [CBI] 2016). To s udy
he e ec s o he COVID-19 pandemic we use he Ox o d s ingency index and
he bina y a iable ha e lec s he COVID-19 pe iod. We show he e ec s o he
COVID-19 pandemic and g een bonds issuance a he issue -le el.
The pape con ibu es o he exis ing li e a u e in se e al ways. Fi s , i p o ides
addi ional e idence on he de e minan s o g een bonds issuance a he i m le el
(Flamme 2020, 2021; Ka p and Mandel 2017; Ze bib 2019). Second, i con ibu es o
he li e a u e ha s udies he e ec s o he global shocks on ene gy inance, such as
i m-le el co po a e g een bonds (Azhgaliye a, Kapsalyamo a, and Mish a 2022; Yang
e al. 2022). Thi d, he pape con ibu es o he li e a u e ha s udies he ela ionship
be ween en i onmen al sus ainable go e nance indica o s and i m-le el issuance o
g een bonds. Finally, he s udy con ibu es o he b oade li e a u e on inance ha
s udies he e ec s o i m-le el cha ac e is ics on he issuance o co po a e g een
bonds. The emainde o he pape is s uc u ed as ollows. Sec ion 2 e iews he
li e a u e. Sec ion 3 and 4 explains he da a and me hodology espec i ely. Sec ion 5
discusses he esul s. Sec ion 6 concludes.
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
2
2. LITERATURE REVIEW
The COVID-19 pandemic showcased he ulne abili y o he global inancial sys em
o ex eme e en s and na u al disas e s (A i e al. 2022). High ola ili y in inancial
ma ke s and pandemic- ela ed signi ican losses in he s ock ma ke s demons a ed
he need o sa e-ha en asse s and po olio di e si ica ion. Du ing he COVID-19
pandemic, g een bonds demons a ed “hedging and sa e-ha en po en ial” due o hei
ma ked di e ences om con en ional bonds and di e si ica ion bene i s (A i e al.
2022; Naeem and Ka im 2021; Nguyen e al. 2021). Likewise, Naeem and Ka im
(2021) ind ha g een inancial asse s p o ide la ge di e si ica ion oppo uni ies
compa e o Bi coin, implying ha g een in es o s pu sue hei g een in es men s and
a oid he inancial isks, especially du ing u bulen imes. Han and Li (2022),
compa ing po olios wi h and wi hou g een bonds in he US and Eu opean ma ke s,
ind ha g een bonds imp o e he isk and e u n p o ile o he po olios in hose
ma ke s. Rebo edo, Ugolini, and Ojea-Fe ei o (2022), s udying he de- isking abili y
o g een bonds o low-ca bon s ocks in he People’s Republic o China (PRC), Eu ope,
and he US, ind ha g een bonds en ail a de- isking capaci y o low-ca bon
in es men s in he PRC and Eu ope, while hey ha e no de- isking capaci y in he US.
Hacıöme oğlu, Danışoğlu, and Güne (2022), s udying he pe o mance o g een and
con en ional bonds du ing he COVID-19 pandemic, ind ha p ima y ma ke yields on
g een and b own bonds declined, while he yields on g een co po a e bonds declined
mo e compa ed o con en ional bonds, poin ing owa ds a s onge demand o he
o me . They also ind ha co po a e g een bonds ha e sa e-ha en po en ial. The
esul s a e o e all consis en wi h o he li e a u e on he esilience o social impac
in es ing (Lins Se aes, and Tamayo 2017) ha ind ha i ms wi h high co po a e
social esponsibili y (CSR) in ensi y had highe s ock e u ns compa ed o i ms wi h
low CSR du ing he 2008–2009 inancial c isis. Yi e al. (2021), in es iga ing he impac
o COVID-19 on he PRC’s g een bond ma ke , ind ha he COVID-19 pandemic
signi ican ly inc eased he cumula i e abno mal e u n o he g een bonds. Guo and
Zhou (2021) ind ha he g een bonds ha e a g ea po en ial “ o hedge agains ail isks
o adi ional asse s.” Elsayed e al. (2022) s udying he in e dependence be ween
g een bonds and inancial ma ke s, ind ha di e si ica ion bene i s o g een bonds
exis in he sho e m. The hedging p ope ies o g een bonds educe in he long e m.
Ze bib (2019) inds ha he g een bonds p emium is ei he close o ze o in se e al
ma ke s o is nega i e. Simila ly, Lö le , Pe eski, and S ephan (2021) ind ha yields
o g een bonds a e 15–20 basis poin s lowe han o con en ional bonds, implying
ha a “g eenium” exis s. Te i e al. (2022) also ind ha he issuance sp ead o g een
bonds is 35 o 40 basis poin s lowe han ha o compa able con en ional bonds.
The s udies explain such di e ence in sp eads h ough he lenses o wo heo ies:
p e e ences o p o-en i onmen al in es o s and he asse p icing heo y. In es o s
engaged in sus ainable and esponsible in es men (SRI) ac i i ies end o be mo e
conce ned abou en i onmen al e ec s a he han payo s. Acco ding o he asse
p icing heo y, lowe yields o g een bonds a e due o he lowe isks o g een bonds.
Tha is in con as o Ka p and Mandel (2017), who ind ha he sp ead be ween b own
and g een bonds is posi i e and signi ican . The au ho s a gue ha he g eenness
ea u es o he bonds a e penalized by he ma ke s, since g een bonds ha e lowe
p ices. Tha is suppo ed by Wu (2022), who inds no nega i e g een bond p emium in
he PRC o globally.
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
3
S udies on he de e minan s o g een bond issuance a e a e. Cicchiello e al. (2022)
s udy g een bond issuance by examining he de e minan s o i ms’ decisions o e
g een and con en ional bonds issuance in Eu ope. They ind ha he p obabili y o
issuing a g een bond is a ec ed by he co po a e sho - e m deb epaymen capabili y,
deb ma u i y s uc u e, and he p esence o independen di ec o s. They ind ha
boa d gende di e si y inc eases he g een bond issuance.
Ba ua and Chiesa (2019) s udy he de e minan s o g een bond issuance, such as he
bond cha ac e is ics and i m cha ac e is ics. They ind ha coupon a e has a nega i e
and signi ican e ec on he issue size o he bonds. Colla e al secu i y is likely o ha e
a posi i e e ec on he issue size. Bond c edi a ing also has a posi i e and signi ican
e ec on bonds issuance. The i m cha ac e is ics, such as i m size and i m
p o i abili y ha e a posi i e and signi ican e ec on he issue size, whe eas he i m’s
e enue g ow h has a nega i e and s a is ically signi ican e ec on he issue size.
Ano he s udy by Lin and Su (2022) in es iga es he de e minan s o he issuance o
g een bonds in he PRC. They ind ha he cos s and he size o bonds issuance ha e
a nega i e and signi ican e ec on he p obabili y o g een bonds issuance. The
issuance o g een bonds by co po a es is p e e ed o he issuance o con en ional
bonds in he p esence o poo inancing condi ions. Co po a es ha equi e la ge-scale
unding would p e e con en ional deb inancing ins umen s. Fi ms wi h high
en i onmen al esponsibili ies would p e e g een bonds.
Some s udies in es iga e whe he g een bonds a e e ec i e ins umen s in add essing
clima e change, especially du ing he imes o economic dis ess (Flahe y e al. 2017).
Flamme (2020) inds ha he issuance o ce i ied g een bonds issuance has a
posi i e and signi ican e ec on he inancial pe o mance o i ms in he long un. The
issuance o g een bonds leads o a educ ion o companies’ CO2 emissions and
inc ease hei en i onmen al a ings.
Ou s udy ela es o he bulk o g owing li e a u e ha in es iga es he de e minan s o
he g een bond issuance a he i m le el. We also discuss he e ec s o he COVID-19
pandemic on he issuance o g een bonds.
3. DATA
Da a on g een bond issuance and on i m cha ac e is ics we e sou ced om he
Bloombe g e minal and om he Compus a da ase by he Wha on Resea ch Da a
Se ices, espec i ely. Ou sample includes da a om 1,778 g een bond issue s om
2017 o 2021 (bu he au ho s plan o upda e wi h 2022 in Janua y 2023 and include a
Wa a iable). We include i m-le el da a o g een bond issue s who issued bonds o e
he pe iod 2017–2021. We also included a COVID-19 a iable, which is measu ed
using wo a iables: (i) as a bina y a iable (equals 1 in 2020–2021); o (ii) he coun y
le el annual a e age s ingency index, which measu es he s ic ness o “lockdown
s yle” policies (Hale e al. 2021). The sample da a is a balanced panel da a wi h
1,778 i ms o e he pe iod 2017–2021.
Compus a da a a e i m-le el annual da a. Howe e , Bloombe g da a a e g een bond-
le el da a. In o de o be able o me ge bo h da ase s, Bloombe g da a we e con e ed
om daily g een bond-le el da a o annual i m le el. The amoun o g een bonds
issued pe i m i in coun y j pe yea , 𝐵!"#, is calcula ed as a sum o all bonds issued
in a yea pe i m i in coun y j, 𝑏!"#: 𝐵!"# =∑𝑏!"#
⬚
⬚. Annual i m-le el coupon a e and
ma u i y 𝑀!"# a e calcula ed using an a e age o coupon a e and ma u i y 𝑚!"# ,
weigh ed by he sha e o issued g een bonds %!"#
&!"#
:'𝑒.𝑔.,𝑀!"# =∑(𝑚!"#
%!"#
&!"#)
⬚
⬚.
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
4
Table 1: Summa y S a is ics
Va iable
Obs
Mean
S d. De .
Min
Max
Dependen a iable
Amoun issued, sha e o asse s
1,778
0.42
2.49
0
58.14
G een bond cha ac e is ics
Ma u i y, yea s
1,778
1.27
3.35
0
60
Coupon, %
1,778
0.62
1.62
0
14
Cu ency:
O he
1,778
0.80
0.40
0
1
CNY
1,778
0.05
0.21
0
1
EUR
1,778
0.08
0.27
0
1
JPY
1,778
0.04
0.19
0
1
SEK
1,778
0.02
0.14
0
1
USD
1,778
0.02
0.15
0
1
Issue cha ac e is ics
Size
1,778
11.85
2.85
2
19
P o i
1,768
0.07
0.05
0
0
Di idend
1,778
1.00
0.07
0
1
Le e age
1,733
2.09
15.32
–53
628
Tangibili y
1,488
0.29
0.27
0
1
COVID, bina y (=1 i ≥2020)
1,778
0.40
0.49
0
1
COVID, s ingency index
0
100
Sec o :
U ili y
1,778
0.18
0.38
0
1
Ene gy
1,778
0.05
0.21
0
1
Financial
1,778
0.46
0.50
0
1
Indus ial, ma e ial, and echnology
1,778
0.19
0.39
0
1
O he sec o s
1,778
0.13
0.34
0
1
No e: N = 1,778; numbe o coun ies = 38; numbe o yea s = 5 (2017–2021).
4. METHODOLOGY
The i ms do no issue g een bonds e e y yea ; he e o e, he da a con ain many ze o
alues. To exploi he unique na u e o he da a, we apply he Poisson ixed-e ec s
es ima o , as i p o ides obus es ima ion o condi ional mean pa ame e s (Woold idge
2010). The model is speci ied as ollows:
&!"#
'!"# =exp1𝛽𝑋!"# + 𝛾𝑌!"# + 𝛿𝐶𝑂𝑉𝐼𝐷"# + 𝜇!" + 𝑢!"#?,
whe e he dependen a iable &!"#
'!"#
is he annual issuance o g een bonds as a sha e o
o al asse s o i m i in coun y j in yea .'𝐶𝑂𝑉𝐼𝐷"# is measu ed using wo indica o s:
Fi s , using an indica o ha is equal o one i '𝑡 ≥ 2020 and ze o o he wise; second,
using an annual a e age s ingency index o coun y j in yea . 𝑋!"# is a ec o o g een
bond cha ac e is ics; 𝑌!"# is a ec o o i m cha ac e is ics. 𝜇!" a e ixed e ec s and
𝑢!"# is he e o e m. The a iance-co a iance ma ix o he es ima es is ob ained
using he Hube /Whi e/Sandwich linea ized es ima o . We also es o he p esence
o endogenei y in he eg ession. The Hausman es does no ind e idence o
endogenei y. We canno ejec he null hypo hesis ha coupon a e and s ingency
index a e exogenous (P>| | =0.491 and P>| | =0.854, espec i ely).
ADBI Wo king Pape 1447 Azhgaliye a and Kapsalyamo a
11
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APPENDIX A
Table A1. Desc ip ion o Fi m Cha ac e is ics Va iables
Fi m Cha ac e is ics
Desc ip ion
Moody’s c edi isk a ing
C edi a ing om he highes quali y Aaa (minimal isk) o he lowes quali y C
(in de aul )a
ESG epo ing sco e
Bloombe g ESG epo ing sco e, which a ies om ze o (no epo ing a all)
o 100 ( he ull epo ing).
ESG epo ing
Bina y a iable which equals one i ESG in o ma ion is epo ed and ze o
o he wise
Size
Loga i hm o o al asse s
P o i
Ope a ing income be o e dep ecia ion/ o al asse s
Di idend
Bina y a iable, which equals one i a i m paid di idends o ze o o he wise
Le e age
To al deb , as a sha e in o al asse s
Tangibili y
P ope y, plan and equipmen /To al asse s
a Fo mo e in o ma ion see he e h ps://www.moodys.com/si es/p oduc s/p oduc a achmen s/ap075378_1_1408_ki.pd .
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Table A2: Co ela ion Ma ix
ln a
1
0.3827*
l d
1
–
0.1932*
–
0.0746*
angib~y
1
0.5270*
–
0.1964*
0.0453
oi
1
–
0.0619*
–
0.2142*
0.0093
0.0458
oa
1
0.8926*
0.0869*
–
0.0543*
–
0.0981*
0.0845*
ssale
1
–
0.0076
–
0.0157
–
0.039
–
0.0975*
0.4830*
0.6819*
c
1
0.0843
0.4026*
0.0302
0.7306*
0.2848*
0.2353*
0.0926
le e age
1
–
0.1419*
–
0.013
–
0.0458
–
0.0393
0.0275
0.1269*
–
0.0372
–
0.0105
di idend
1
–
0.0003
.
–
0.1071*
0.0575*
0.0605*
–
0.0836*
–
0.0206
–
0.1235*
–
0.1915*
p o i
1
–
0.0307
–
0.0606*
0.8710*
0.0578
0.6369*
0.5103*
0.4232*
0.0995*
–
0.1347*
0.2276*
Size
1
–
0.1347*
–
0.1235*
–
0.0372
0.2353*
0.4830*
–
0.0981*
0.0093
–
0.1964*
–
0.1932*
1.0000*
0.3827*
esg ep~3
1
0.1383*
–
0.0156
–
0.0126
0.0076
.
0.0544
0.1540*
0.1848*
–
0.0816*
–
0.0189
0.1383*
0.0417
esgdis~2
1
–
0.0929*
0.1686*
0.0147
–
0.0301
–
0.0588
0.2928*
0.0815
0.0444
0.0909*
–
0.0545
–
0.1643*
0.1686*
0.1099*
ma u i~n
1
–
0.1282
–
0.0105
–
0.0875
0.0683
0.053
–
0.0373
0.032
–
0.0463
0.0427
0.013
0.0843
0.0381
–
0.0875
–
0.0134
cpn2
1
–
0.1456*
0.0271
–
0.1149*
–
0.3489*
0.0011
–
0.0312
0.0618
–
0.1153
–
0.0884
–
0.0698
–
0.0468
0.0507
0.0529
–
0.3489*
–
0.03
am iss~d
–
0.1334*
0.1162*
–
0.1473*
0.0775
0.1720*
–
0.2091*
0.0291
–
0.032
–
0.2227
0.0949
–
0.1512*
–
0.0982*
–
0.2744*
–
0.1833*
0.1720*
0.1343*
cpn2
ma u i y_d~n
esgdisclos~2
esg epo i~3
size
p o i
di idend
le e age
c
ssale
oa
oi
angibili y
l d
ln a
capex
