Download This PaperLiquidity Risk and Yield Spreads of Green Bonds
25 Pages Posted: 18 Apr 2018
Date Written: March 12, 2018
Abstract
This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.
Keywords: Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
JEL Classification: G12, G32
Suggested Citation: Suggested Citation
Wulandari, Febi and Schaefer, Dorothea and Stephan, Andreas and Sun, Chen, Liquidity Risk and Yield Spreads of Green Bonds (March 12, 2018). DIW Berlin Discussion Paper No. 1728, Available at SSRN: https://ssrn.com/abstract=3161323 or http://dx.doi.org/10.2139/ssrn.3161323
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