Research On The Influencing Factors Of The Pricing Of Carbon Neutral Bonds

Under the background of our country actively realizing the "double carbon goal",carbon neutralization bond came into being.Compared with the previous green bonds,carbon neutral bonds have more stringent requirements in the use of raised funds,the quantification of environmental benefits and information disclosure.This paper chooses carbon neutral bonds as the research object.An empirical study on the influencing factors of its issue pricing can enrich the pricing theory of carbon neutral bonds and reveal the effect of various factors on the pricing of carbon neutral bonds.It provides a basis for bond issuers to control issuance costs and to price carbon neutral bonds more reasonably in the future.First of all,by using the method of literature analysis,this paper combs the relevant research on the influencing factors of bond pricing,and thinks that it is not only necessary to consider the general factors when considering the influencing factors of carbon neutral bond pricing.We should also focus on the impact of the carbon emission reduction benefits of the bond.Then it expounds the present situation of the development of China’s carbon neutral bond market,and analyzes and explains the related problems that affect the bond pricing in the current carbon neutral bond market.Secondly,it theoretically studies how the price of risk-free bonds,liquidity,credit risk and the benefits of carbon reduction affect the pricing of carbon-neutral bonds.Then select the relevant measurement indicators from these four aspects.In the part of empirical analysis,the carbon neutral bonds issued in China from February 7,2021 to December 31,2022 are selected as the research sample,and the coupon rate of carbon neutral bonds is set as the explained variable.National debt yield,bond size,bond maturity,debt credit rating,bond issuer credit rating,gross domestic product,annual carbon dioxide emission reduction and national carbon emissions trading price are set as explanatory variables.Stata 16 is used to analyze the multiple linear regression model,to study the effects of various influencing factors,and to test the robustness of the empirical results.The full sample regression results show that there is a significant positive correlation between bond yield,bond maturity and carbon neutral bond issuing interest rate;there is a significant negative correlation between bond size,credit rating of bond issuers,annual carbon dioxide reduction,and the price of national carbon emissions trading rights and the interest rate of carbon neutral bond issuance.From the absolute value of the regression coefficient of each explanatory variable,the yield of treasury bonds has the greatest positive effect,and as a measure of the price of risk-free bonds,it also confirms that the price of risk-free bonds is an important benchmark for the pricing of carbon-neutral bonds.At the same time,as an index to measure the benefits of carbon emission reduction,carbon dioxide reduction and the national carbon emissions trading price have a significant negative effect on the interest rate of carbon neutral bond issue.it shows that the carbon reduction benefits of carbon neutral bonds can reduce financing costs for bond issuers.At the same time,based on full sample regression,conduct heterogeneity analysis on the industries of bond issuing enterprises.The heterogeneity regression results show that the yield of treasury bonds,the credit rating of bond-issuing companies,the size of bonds and the trading price of national carbon emissions have the same influence on the interest rate of carbon-neutral bonds in power industry and non-power industry,but the impact is slightly different.However,there is a significant negative correlation between carbon dioxide emission reduction and carbon neutral and bond issuance interest rate in the power industry,but not in the non-power industry.This shows that the interest rate of carbon neutral bonds issued by the power industry is more sensitive to the reduction of carbon dioxide emissions than the non-power industries with less benefits of carbon emission reduction.Finally,on the basis of the empirical research results,combined with the current situation and related problems of the carbon neutral bond market,the corresponding suggestions are put forward to promote the development of the carbon neutral bond market in the future.