An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China

Weiye Chen

doi:10.47297/wspceWSP2516-251923.20250905

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An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China

9卷第5期

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An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China
An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China
Hong Kong University of Science and Technology, Hong Kong, 999077, China
2025年9卷第5期页码：121-127
纸质出版：2025-10-30
DOI：10.47297/wspceWSP2516-251923.20250905
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Weiye Chen. (2025). An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China. 创意经济（英文版）, 9(5), 121-127.

Chen Weiye.An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China[J].Creative Economy,2025,09(05):121-127.
Weiye Chen. (2025). An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China. 创意经济（英文版）, 9(5), 121-127. DOI： 10.47297/wspceWSP2516-251923.20250905.

Chen Weiye.An Empirical Study on the Impact Mechanism of PM2.5 on the Credit Spread of Green Bonds in China[J].Creative Economy,2025,09(05):121-127. DOI： 10.47297/wspceWSP2516-251923.20250905.

摘要

Abstract

This study investigates the impact mechanism of PM2.5 concentration on the credit spread of green bonds

using a sample of 2

094 green bonds issued in China from 2016 to 2023. It comprehensively employs the two-way fixed effects model

mediation effect model

and instrumental variable method. The research fills the gap in understanding how micro-pollutants (PM2.5) affect green bond pricing. It empirically verifies the direct positive impact of PM2.5 on green bond spreads

as well as the mediating transmission mechanisms of third-party certification and regional public opinion attention in the relationship between them. This study provides evidence from the Chinese market for the integration of environmental risks into the green financial asset pricing system.

关键词

Keywords

references

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