Séminaire QSEF – Quantitative Sustainable Economics and Finance

Heure : 10h – 12h

Date : jeudi 10 septembre 2026

Salle 3001

Marcelo SENA (Stanford University) “Pricing and Risk in Sovereign Green Debt: Evidence from Chile”

Résumé : We study the pricing of sovereign green bonds using Chile’s pioneering green bond program and its cross-design issuance. Employing a panel of Chilean U.S.-dollar bonds, we estimate no-arbitrage pricing kernels for green and conventional bonds.
The results reveal a declining greenium across maturities, driven by the higher interestrate risk exposure of green bonds. We find no evidence of investor segmentation or liquidity differences between green and conventional bonds. Instead, we explain the observed pricing patterns through a representative agent asset-pricing model in which investors derive nonpecuniary benefits from the real value of their green bond holdings. During high-inflation periods, as observed in our sample, the real value of green bond portfolios deteriorates, making the convenience service they provide scarcer and more valuable. This positive correlation between green convenience yield and inflation generates a risk premium that compresses the greenium especially at longer maturities, producing a downward-sloping greenium term structure.