【作者】 李鑫；

【导师】 尹筑嘉； 郑华峰；

【作者基本信息】 长沙理工大学 ， 金融硕士（专业学位）， 2022， 硕士

【摘要】 借着生态友好型政策的东风,我国绿色债券市场高速发展。第三方认证能够降低信息不对称程度、传输利好信号、减少风险,从而增强绿色债券的公信力。因而理论上,进行第三方认证对绿色债券的发行利率可以产生降低作用。本文通过实证研究法和案例研究法,考察进行第三方认证对绿色债券发行利率的影响。在实证研究部分,结果显示第三方认证和绿色债券的发行利率呈显著负相关关系,且进行第三方认证能降低绿色债券发行利率。探究绿色债券发行利率与第三方认证的相互联系,回归结果显示第三方认证的回归系数显著为负。探究绿色债券发行利率与第三方认证影响的因果关系,本文的回归分析引入债券信用评级与第三方认证的交叉项。回归检验结果显示,第三方认证与债券信用评级交叉项的回归系数显著为正。这说明,绿色债券在信誉较好、违约风险较小的情况下进行第三方认证并不能得利。换言之,进行第三方认证使得绿色债券发行利率降低。在案例研究部分,结果显示第三方认证对固定部分的资产价值影响不大,但能通过增加绿色债券浮动部分的资产价值来降低发行利率。本文将绿色债券的资产价值分为“债券”的固定部分和“绿色”的浮动部分。使用贴现模型计算绿色债券固定部分的价值,结果显示第三方认证对绿色债券固定部分的价值影响较小。使用B-S模型计算绿色债券浮动部分的价值,计算结果显示:经过第三方认证,绿色债券在浮动部分的资产价值更大,能够带来额外的碳收益。更多还原

【Abstract】 Leveraging on eco-friendly policies,my country’s green bond market has developed rapidly.Third-party certification can reduce the degree of information asymmetry,transmit positive signals,and reduce risks,thereby enhancing the credibility of green bonds.Therefore,in theory,third-party certification can reduce the issuance rate of green bonds.This paper examines the impact of third-party certification on green bond issuance rates through empirical research and case studies.In the empirical research part,the results show that there is a significant negative correlation between third-party certification and the issuance rate of green bonds,and third-party certification can reduce the issuance rate of green bonds.In order to explore the relationship between green bond issuance rates and third-party certification,the regression results show that the regression coefficient of third-party certification is significantly negative.In order to explore the causal relationship between green bond issuance rates and the impact of third-party certification,the regression analysis of this paper introduces the intersection of bond ratings and third-party certification.The regression test results show that the regression coefficient of the intersection of third-party certification and bond rating is significantly positive.This shows that it is not profitable to conduct third-party certification for green bonds with good credit and low default risk.In other words,third-party certification reduces the interest rate for green bond issuance.In the case study section,the results show that third-party certification has little effect on the asset value of the fixed tranche,but can reduce the issuance rate by increasing the asset value of the floating tranche of the green bond.This paper divides the asset value of green bonds into a "bond" fixed part and a "green" floating part.Using a discounted model to calculate the value of the fixed part of green bonds,the results show that third-party certification has less impact on the value of the fixed part of green bonds.Using the B-S model to calculate the value of the floating part of green bonds,the calculation results show that after third-party certification,the asset value of green bonds in the floating part is greater,which can bring additional carbon benefits.更多还原