Research Seminar by Prof. Ewa Dziwok

Date: 27 May 2024, Monday, 11:40-13:00  

Venue: Institute of Finance – Room E.279.1. (Corvinus Main Building E, second floor) 

The abstract of Prof. Ewa Dziwok’s lecture: 

Climate change, which has the potential to threaten financial systems and the economy, requires the involvement of all sectors, including financial institutions. The Covid-19 pandemic has drawn investors’ attention even more to environmental and social issues. The process of financing the green transformation forces legal changes and creates new instruments such as green bonds, the volume of which has increased exponentially in recent years. The study presents an analysis of the green premium (greenium) over time for an estimated zero-coupon bond term structure. There are a number of approaches to setting a green bond premium, defined as a benefit pricing based on the logic that investors are willing to pay more or accept lower yields in exchange for a sustainable impact. Our research was conducted by estimating the zero-coupon yield curves using the Nelson-Siegel-Svensson parametric method, and then systematically comparing green and conventional bonds for selected maturities. The results indicate that green bonds were characterized by increasingly lower interest rates compared to conventional bonds of their counterparties without the “green” component, however, these differences were so insignificant that they do not significantly affect the financial attractiveness of green bonds. 

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