We study whether markets are accounting for the positive impact of countries’ climate investments into their judgement about country risk, proxied by sovereign bonds’ yields. Using the introduction of the European Commission (EC) Recovery and Resilience Facility (RRF), launched in 2021, as a natural experiment, we use a staggered difference-in-difference model to analyse the market pricing of the greenness of EU member states’ Recovery and Resilience Plans (RRPs). We find that the aggregate impact of climate investments in EU countries’ recovery plans on sovereign bonds is yield-reducing, and increases with longer residual maturity of bonds.
ALESSI Lucia;
DURANOVIC Anja;
KVEDARAS Virmantas;
MONASTEROLO Irene;
2025-05-07
ELSEVIER
JRC141717
1878-3384 (online),
https://doi.org/10.1016/j.ribaf.2025.102866,
https://publications.jrc.ec.europa.eu/repository/handle/JRC141717,
10.1016/j.ribaf.2025.102866 (online),
| Name | Country | City | Type |
|---|
This document is only visible at the Commission level.
You are not authorized to publish or distribute it outside the European Commission.
This is a public document. You can share this publication.
Datasets
| ID | Title | Public URL |
|---|
Dataset collections
| ID | Acronym | Title | Public URL |
|---|
Scripts / source codes
| Description | Public URL |
|---|
Additional supporting files
| File name | Description | File type |
|---|