Are Green, Climate Change and Corporate Bonds Substitutes or Complements? Evidence from a Fourier Specification

24 Pages Posted: 23 Apr 2024

See all articles by Jane M. Binner

Jane M. Binner

University of Birmingham - Department of Accounting and Finance

Adrian R Fleissig

affiliation not provided to SSRN

James Swofford

University of South Alabama

Abstract

Some new fixed income assets have recently been developed. We estimated elasticities for climate change bonds, green bonds and corporate bonds using a Fourier specification. We find all own-price elasticities are negative, but some are relatively large and variable early in the sample, as might be expected for new markets.  All three assets are generally substitutes in use, but there is some complementarity between climate change and green bonds early in the sample.  Climate change and corporate bond budget elasticities are generally greater than unity, while green bond budget elasticities are generally between zero and unity.

Keywords: Climate Change Bond, green bonds, Corporate bonds, Budget and Substitution Elasticities

Suggested Citation

Binner, Jane M. and Fleissig, Adrian R and Swofford, James, Are Green, Climate Change and Corporate Bonds Substitutes or Complements? Evidence from a Fourier Specification. Available at SSRN: https://ssrn.com/abstract=4804063 or http://dx.doi.org/10.2139/ssrn.4804063

Jane M. Binner

University of Birmingham - Department of Accounting and Finance ( email )

Birmingham, B15 2TY
United Kingdom

Adrian R Fleissig

affiliation not provided to SSRN

James Swofford (Contact Author)

University of South Alabama ( email )

307 University Blvd
Mobile, AL 36688
United States

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