Original title: Analýza vztahu mezi environmentálními, sociálními a správními aspekty (ESG) a spready státních dluhopisů: empirická analýza zemí střední a východní Evropy
Translated title: Analyzing the link between Environmental, Social and Governance (ESG) and sovereign bond spreads: an empirical analysis of CEE countries
Authors: Guan, Yanqi ; Baxa, Jaromír (advisor) ; Merrino, Serena (referee) ; Jeřábek, Petr (referee)
Document type: Master’s theses
Year: 2022
Language: eng
Abstract: This study investigates the effects of a country's environmental, social and governance (ESG) performance on sovereign bond spreads in CEE countries. We used both the sovereign bond spreads vis-à-vis the U.S. and bond spreads vis-à-vis Germany. We employed a dynamic panel generalized method of moments model, based on a sample of 10 CEE countries from 2009 to 2018. The analysis reveals that overall, better ESG performance is associated with lower sovereign bond spreads. When looking at bond spreads vis-à-vis the U.S., all three sub-dimensions of ESG are found to have significant negative impacts on sovereign bond spreads. When using bond spreads vis-à-vis Germany, only environmental and governance sides show significant effects. In addition, the results suggest that environmental side has more pronounced economic impacts on sovereign bond spreads than the other two sides in CEE countries.
Keywords: CEE countries,sustainbility; ESG,sovereign bond spreads,sovereign bond risk

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/176827

Permalink: http://www.nusl.cz/ntk/nusl-510464


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses