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DTSTART:20260329T010000
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DTSTART:20261025T010000
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DTSTART;TZID=Europe/Helsinki:20260910T100000
DTEND;TZID=Europe/Helsinki:20260910T120000
DTSTAMP:20260813T104016
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UID:19072-1789034400-1789041600@crest.science
SUMMARY:Marcelo SENA (Stanford University) "Pricing and Risk in Sovereign Green Debt: Evidence from Chile"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Séminaire QSEF – Quantitative Sustainable Economics and Finance \nHeure : 10h – 12h \nDate : jeudi 10 septembre 2026 \nSalle 3001 \n  \nMarcelo SENA (Stanford University) “Pricing and Risk in Sovereign Green Debt: Evidence from Chile” \n  \nRésumé : 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.\nThe 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.[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/marcelo-sena-stanford-university/
LOCATION:3001
CATEGORIES:Quantitative Sustainable Economics and Finance,Seminars
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