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dc.contributor.authorCapelle-Blancard, Gunthe
dc.contributor.authorCrifo, Patricia
dc.contributor.authorOueghlissi, Rim
dc.contributor.authorScholtens, Lambertus Johannes Regnerus
dc.identifier.citationCapelle-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 . < >en
dc.identifier.otherPURE: 249900470
dc.identifier.otherPURE UUID: 62673cb4-c657-48c0-8321-4f749ae2f6b1
dc.identifier.otherORCID: /0000-0001-5774-5191/work/69834976
dc.description.abstractWhat 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.
dc.relation.ispartofseriesEconomiX Working Papersen
dc.subjectSovereign bond ratingsen
dc.subjectBond yield spreadsen
dc.subjectHG Financeen
dc.titleEnvironmental, Social and Governance (ESG) performance and sovereign bond spreads : an empirical analysis of OECD countriesen
dc.typeWorking or discussion paperen
dc.description.versionPublisher PDFen
dc.contributor.institutionUniversity of St Andrews. School of Managementen
dc.contributor.institutionUniversity of St Andrews. Centre for Responsible Banking and Financeen

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