St Andrews Research Repository

St Andrews University Home
View Item 
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  •   St Andrews Research Repository
  • University of St Andrews Research
  • University of St Andrews Research
  • University of St Andrews Research
  • View Item
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.

Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries

Thumbnail
View/Open
WP_EcoX_2017_07.pdf (747.8Kb)
Date
07/03/2017
Author
Capelle-Blancard, Gunthe
Crifo, Patricia
Oueghlissi, Rim
Scholtens, Lambertus Johannes Regnerus
Keywords
ESG
Performance
Sovereign bond ratings
Bond yield spreads
HG Finance
Metadata
Show full item record
Altmetrics Handle Statistics
Abstract
What are the determinants of borrowing cost in international capital markets? Apart from macroeconomic fundamentals, are there any qualitative factors that might capture sovereign bond spreads? In this paper we consider to what extent Environmental, social and governance (ESG) performance can affect sovereign bond spreads. First, countries with good ESG performance tend to have less default risk and thus lower bond spreads. Moreover, the economic impact is stronger in the long-run, suggesting that ESG performance is a long-lasting phenomenon. Second, we examine the financial impact of separate ESG dimensions, and find that the environmental dimension appears to have no financial impact whereas governance weighs more than social factors. Third, we examine cross-countries differences and show that ESG performance has a more significant and stronger impact in the Eurozone than elsewhere in OECD countries. Fourth, we include evidence from the global financial crisis and find stronger influence of country sustainability performance during crisis period.
Citation
Capelle-Blancard , G , Crifo , P , Oueghlissi , R & Scholtens , L J R 2017 ' Environmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countries ' EconomiX Working Papers , no. 7 , vol. 2017 , Paris , pp. 1-56 . < http://econpapers.repec.org/paper/drmwpaper/2017-7.htm >
Publication
 
Type
Working or discussion paper
Collections
  • University of St Andrews Research
URL
http://economix.fr/fr/dt/2017.php?id=502
http://econpapers.repec.org/paper/drmwpaper/2017-7.htm
URI
http://hdl.handle.net/10023/10707

Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

Advanced Search

Browse

All of RepositoryCommunities & CollectionsBy Issue DateNamesTitlesSubjectsClassificationTypeFunderThis CollectionBy Issue DateNamesTitlesSubjectsClassificationTypeFunder

My Account

Login

Open Access

To find out how you can benefit from open access to research, see our library web pages and Open Access blog. For open access help contact: openaccess@st-andrews.ac.uk.

Accessibility

Read our Accessibility statement.

How to submit research papers

The full text of research papers can be submitted to the repository via Pure, the University's research information system. For help see our guide: How to deposit in Pure.

Electronic thesis deposit

Help with deposit.

Repository help

For repository help contact: Digital-Repository@st-andrews.ac.uk.

Give Feedback

Cookie policy

This site may use cookies. Please see Terms and Conditions.

Usage statistics

COUNTER-compliant statistics on downloads from the repository are available from the IRUS-UK Service. Contact us for information.

© University of St Andrews Library

University of St Andrews is a charity registered in Scotland, No SC013532.

  • Facebook
  • Twitter