Was Covid-19 a wake-up call on climate risks? Evidence from the greenium

Building on the work by Liberati and Marinelli (2021), this paper presents a study on the greenium, i.e. the negative yield difference between green bonds and their conventional counterparts. We use a security-by-security data set comprising a large sample of green bonds exchanged on the main global security markets, integrated with the microdata employed in official statistics on security holdings and prices. After showing the existence of the greenium and its dynamics during and after the pandemic, we employ a twofold approach in order to contribute to the literature on this topic. We provide econometric evidence for a persistent excess demand in the green bond secondary market through a non-Walrasian disequilibrium model á la Maddala and Nelson (1974). We then exploit an econometric strategy based on security-level panel regressions, and we find strong evidence for the existence of the greenium and for its increase following the Covid-19 shock in a heterogeneous way across sectors; such additional effect has been nonetheless absorbed after the end of the pandemic in Europe. Finally, we further contribute to the literature by demonstrating that a large part of the greenium is due to a persistent excess demand of green bonds.