| Abstract [eng] |
Green bonds are a fixed income financial instrument designed to raise capital from investors through the debt capital market to finance environmental projects. However, emerging physical and transitional risks mean that the green bond market reacts to such risks. The aim of this paper is to analyze and to reveal the impact of climate change caused risks on the green bond market. The first part of master’s thesis reveals the main climate-related risks. Additionally, it explains and reveals problematics of green bonds, including their advantages and disadvantages for investors, as well as emerging benefits and threats of green bonds for issuers. Moreover, several scientific research studies related to green bonds and climate risks are analyzed. The second part presents the research methodology. The third part provides an overview of the dynamics of the green bond market. Also, a quantitative study is performed using the EViews program. Respectively, the following statistical analysis tests and methods are used for processing the results: vector autoregression model, stationarity tests, autoregressive moving average model, both Chow and Bai-Perron tests. A qualitative study revealed that since 2014 investors are increasingly investing in green bonds, with most green bond issues being issued in Europe. Also, green bonds are mostly issued by various financial corporations and non-financial companies that have primarily invested in renewable energy sources. The results of the quantitative study confirmed the three hypotheses: that the return of green bonds is most influenced by transitional risks, that investors' decisions do not change at the exact moment when the event related to climate risks occurs, and that increasing uncertainty in the market and increasing systemic risks affect the demand for green bonds. Furthermore, it was analyzed that the political upheaval of transition risks had a positive effect on the return of green bonds. Even though the predicted values showed that the returns of green bonds should have been decreasing, however, after the political upheaval, the returns increased. Thus, it can be concluded that climate change caused risks have an impact on the green bonds market. |
