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We study green bonds, which are bonds whose proceeds are used for environmentally sensitive purposes. After an overview of the U.S. corporate and municipal green bonds markets, we study pricing and ownership patterns using a simple framework that incorporates assets with nonpecuniary utility. As...
Persistent link: https://www.econbiz.de/10012480846
Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings--indirectly because the global holdings dataset does not differentiate by currency denomination--and then …
Persistent link: https://www.econbiz.de/10012455507
. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside … of our carry trades are not significantly different from unconditional betas. Hedging with options reduces but does not …
Persistent link: https://www.econbiz.de/10012458234
If a coalition of countries implements climate policies, nonparticipants tend to consume more, pollute more, and invest too little in renewable energy sources. In response, the coalition's equilibrium policy distorts trade and is not time-consistent. This paper derives conditions for when...
Persistent link: https://www.econbiz.de/10012462537
seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the … point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility …
Persistent link: https://www.econbiz.de/10012467904
We review the literature on sustainable investing, focusing on financial effects. First, we examine the effects of investor tastes on portfolio tilts and asset prices in a simple equilibrium setting. We establish novel connections, including a direct relation between the green portfolio tilt and...
Persistent link: https://www.econbiz.de/10015171655
We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are significant at both the extensive margin...
Persistent link: https://www.econbiz.de/10014322708
ESG, 25% are primarily motivated by ethical considerations, 22% are driven by climate hedging motives, and 7% are … important ESG investment motives were ethical or hedging reasons …
Persistent link: https://www.econbiz.de/10014250132
In the past two decades, a number of banks joined global initiatives aimed to mitigate climate change by "greening" their asset portfolios. We study whether banks that made such commitments have a different emission exposure of their portfolios of syndicated loans than banks that did not. We...
Persistent link: https://www.econbiz.de/10015056201
and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during …. We provide empirical support for this mechanism, showing that countries with higher nominal bond-stock betas have … significantly larger nominal bond risk premia and borrow less in local currency …
Persistent link: https://www.econbiz.de/10012456087