TY  - UNPD
A1  - Moro, Alessandro
A1  - Zaghini, Andrea
T1  - The green sin: how exchange rate volatility and financial openness affect green premia
N2  - We propose a model with mean-variance foreign investors who exhibit a convex disutility associated to brown bond holdings. The model predicts that bond green premia should be smaller in economies with a closer financial account and highly volatile exchange rates. This happens because foreign intermediaries invest relatively less in such economies, and this lowers the marginal disutility of investing in polluting activities. We find strong empirical evidence in favor of this hypothesis using a global bond market dataset. Exchange rate volatility and financial account openness are thus able to explain the higher financing costs of green projects in emerging markets relative to advanced economies, especially when green bonds are denominated in local currency: a disadvantage that we can call the "green sin" of emerging economies.
T3  - CFS working paper series - No. 715 
KW  - Green bonds
KW  - Greenium
KW  - Exchange rate volatility
KW  - Financial openness
KW  - Original sin
Y1  - 2023
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/72288
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-722887
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4660071
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -