The benchmark greenium

• 成果类型: Article
• 署名作者: D'amico, Stefania; Klausmann, Johannes; Pancost, N. Aaron
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of Houston System; University of Houston; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104217
• 发表日期: 2026-02
• 页码: 104217
• 关键词: esg; Green bonds; Dynamic no-arbitrage models; bond; RISK; US

摘要

Exploiting the twin structure of German government green and conventional securities, we use a dynamic term structure model to estimate a time-varying greenium stemming solely from investors' green values and not their cash flow expectations. This greenium is distinct from the yield spread between the twin securities (the green spread), as the model purifies it from pecuniary and non-pecuniary factors unrelated to environmental concerns. While the green spread correlates with stock market prices, the conventional convenience yield, and temporary demand-supply imbalances, our greenium correlates only with proxies of environmental concerns. We also estimate expected green returns, which incorporate greenium risk.