Measuring the effect of government ESG performance on sovereign borrowing cost
| Autor: | Patricia Crifo, Marc-Arthur Diaye, Rim Oueghlissi |
|---|---|
| Přispěvatelé: | Département d'Économie de l'École Polytechnique (X-DEP-ECO), École polytechnique (X), Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE), EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), Université Paris 1 Panthéon-Sorbonne - UFR Mathématiques & Informatique (UP1 UFR27), Université Paris 1 Panthéon-Sorbonne (UP1), Crifo, Patricia, Parisnanterre, EconomiX |
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Government bond spreads
Government bond spreads Extra- financial ratings ESG performance Government bond spreads JEL: F - International Economics/F.F3 - International Finance/F.F3.F34 - International Lending and Debt Problems Extra- financial ratings [No keyword available] JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions Extra-financial ratings ESG performance [SHS.ECO] Humanities and Social Sciences/Economics and Finance [SHS.ECO]Humanities and Social Sciences/Economics and Finance |
| Zdroj: | Quarterly Review of Economics and Finance Quarterly Review of Economics and Finance, 2017, 66, pp.13-20. ⟨10.1016/j.qref.2017.04.011⟩ Quarterly Review of Economics and Finance, Elsevier, 2017 HAL |
| ISSN: | 1062-9769 1878-4259 |
| DOI: | 10.1016/j.qref.2017.04.011⟩ |
| Popis: | This article examines whether the extra-fi nancial performance of countries on environmental, social and governance (ESG) factors matter for sovereign bonds markets. We propose an econometric analysis of the relationship between ESG performances and government bond spreads of 23 OECD countries over the 2007-2012 period. Our results reveal that ESG ratings signi ficantly decrease government bond spreads and this fi nding is robust for a wide range of model setups. We also find that the impact of ESG ratings on the cost of sovereign borrowing is more pronounced in bonds of shorter maturities. Finally, we show that extra-fi nancial performance plays an important role in assessing risk in the financial system. In particular, the informational content of ESG ratings goes beyond the set of quantitative variables traditionally used as determinant of a country's extra-fi nancial rating such as CO2 emissions, the share of protected areas, social expenditure and health expenditure per GDP, or the quality of institutions, and off ers an additional evaluation of governments' ESG performance that matters for government bond spreads. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect