流动性风险对绿色债券收益率利差的影响研究

Research on the Impact of Liquidity Risk on the Spread of Green Bond Yield

本文选取2016年至2019年国内发行的绿色债券作为研究对象,以零交易日百分比、剩余期限等作为流动性风险代理变量,使用随机效应模型探究流动性风险对绿色债券收益率利差的影响。研究发现:剩余期限和交易额与绿色债券收益率利差成反比;零交易日百分比与绿色债券收益率利差成正比。上述结果表明,各类发行主体通过提高绿色债券的流动性水平,最终可以缩小收益率利差。本文为降低绿色债券流动性风险、保持债券市场稳定等提供了经验证据。

This paper selects domestic green bonds issued from 2016 to 2019 as the research object,takes the percentage of zero trading days and remaining maturity as proxy variables for liquidity risk and uses a random effect model to explore the impact of liquidity risk on green bond yield spreads.The study found that the remaining maturity and transaction volume are inversely proportional to the green bond yield spread;the percentage of zero trading days is directly proportional to the green bond yield spread.The above results indicate that various issuers can ultimately narrow the yield spread by increasing the liquidity level of green bonds.This article provides empirical evidence for reducing the liquidity risk of green bonds and maintaining the stability of the bond market.