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金融研究  2021, Vol. 498 Issue (12): 75-95    
  绿色金融专辑 本期目录 | 过刊浏览 | 高级检索 |
中国绿色金融政策、融资成本与企业绿色转型——基于央行担保品政策视角
陈国进, 丁赛杰, 赵向琴, 蒋晓宇
厦门大学经济学院/厦门大学王亚南经济研究院,福建厦门 361005;
中国人民银行金融研究所,北京 100033
China's Green Finance Policy, Financing Costs and Firms' Green Transition: A Central Bank Collateral Framework Perspective
CHEN Guojin, DING Saijie, ZHAO Xiangqin, JIANG Xiaoyu
School of Economics/Wang Yanan Institute for Studies in Economics, Xiamen University;
Research Institute,the People's Bank of China
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摘要 近年来,中国绿色金融政策陆续出台且支持力度不断强化,政策效果受到广泛关注。本文首先将绿色金融政策和绿色转型纳入可持续投资(ESG)资产定价模型,分析绿色金融政策对风险资产均衡收益和企业绿色转型的作用机理。其次基于绿色债券纳入央行合格担保品这一准自然实验,分别从企业融资成本和绿色创新两个角度实证检验绿色转型的政策效果。研究发现:(1)央行担保品类绿色金融政策通过降低绿色债券的信用利差为绿色企业提供融资激励,同时通过提高棕色债券的信用利差给棕色企业的绿色转型带来倒逼促进作用。(2)这一影响在绿色金融改革创新试验区内作用更为显著,但随时间推移逐渐弱化。(3)央行担保品类绿色金融政策通过融资途径显著提升了棕色企业的绿色创新,倒逼棕色企业绿色转型。
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陈国进
丁赛杰
赵向琴
蒋晓宇
关键词:  绿色金融政策  央行担保品框架  债券信用利差  绿色创新    
Summary:  In recent years, China has introduced successive green finance policies, intensifying policy support for the green transition of the economy. The effectiveness of these policies and how they promote the green transition of the economy has attracted a great deal of attention.
In this paper, we integrate the green finance policy and green transition into the sustainable investment asset pricing model and analyze the effects of green finance policy on the expected returns of risky assets and firms' green innovation. Next, using the quasi-natural experiment of the central bank including green bonds as qualified collateral, we provide empirical evidence of the effects of green finance policy from the perspectives of financing costs and corporate green innovation. We also conduct various robustness tests, such as changing the sample interval, a placebo test, policy delay effect, and propensity score matching to address potential endogeneity in our empirical investigation.
This study's main findings are as follows. (1) The central collateral framework policy reduces the credit spreads of green bonds and increases the credit spreads of brown bonds, demonstrating that the green finance policy creates financing incentives for green firms and pressures for the green transition of brown firms, respectively. (2) These effects are stronger in the green finance reform and innovation pilot zone but gradually weaken over time. (3) The central collateral framework policy significantly enhances the green innovation of brown firms through financial pressure that forces them to engase in green transition.
According to these findings, we propose three policy implications for the central bank to better promote the green transition of the economy. (1) The central bank should continue to provide financial support for green firms through the expansion of collateral. Specifically, expanding the green assets those qualify as collateral or increasing the mortgage rate of green assets can further strengthen the policy effects. (2) The central bank should implement the continuous and progressive green finance policy and further expand the green finance reform and innovation pilot zone to promote green transition. (3) The central bank should provide financing incentives for brown firms that actively engage in green innovation.
This paper makes the following contributions to the literature. (1) With the introduction of green finance policy and firm's green transition decision, we extend the sustainable investment (ESG) asset pricing model of Pástor et al. (2021). ESG asset pricing models rarely consider the impact of financial policy, especially green finance policy, on asset prices. Using the extended ESG asset pricing model, this paper provides a unified theoretical framework for green finance policy, firms' financing costs and firms' green transition. (2) To address potential concerns about model uncertainty caused by a single empirical methodology, we use a combination of difference-in-difference (DID), triple differences (DDD) and continuous DID methods to identify the causality between green finance policy, bond credit spreads and firms' green transitions, resolving the endogeneity problem. (3) This paper provides evidences of the green effects of green finance policy from the perspectives of credit spreads and firms' green innovation. We comprehensively test the heterogeneous effects of the policy on bond credit spreads and the dynamic time-varying and regional differences in the policy effects. We verify the mechanisms that force brown firms to engase in green transition.
Keywords:  Green Finance Policy    Central Bank Collateral Framework    Bond Credit Spreads    Green Innovation
JEL分类号:  G12   O32   Q58  
基金资助: * 本文获得国家社科基金重大项目(20&ZD055)、国家自然科学基金项目(71971180, 71771193, 72171201, 71988101)、教育部人文社科项目(21YJA790082)和福建省社科基金项目(FJ2020B066)的资助。感谢匿名审稿人的宝贵意见,文责自负。
通讯作者:  赵向琴,经济学博士,教授,厦门大学经济学院,E-mail:xqzhao@xmu.edu.cn.   
作者简介:  陈国进,经济学博士,教授,厦门大学经济学院/厦门大学王亚南经济研究院,E-mail:gjchen@xmu.edu.cn.丁赛杰,金融学博士研究生,厦门大学经济学院,E-mail:dsj_xmu@163.com.蒋晓宇,金融学博士,中国人民银行金融研究所,E-mail:jiangxy@pbc.gov.cn.
引用本文:    
陈国进, 丁赛杰, 赵向琴, 蒋晓宇. 中国绿色金融政策、融资成本与企业绿色转型——基于央行担保品政策视角[J]. 金融研究, 2021, 498(12): 75-95.
CHEN Guojin, DING Saijie, ZHAO Xiangqin, JIANG Xiaoyu. China's Green Finance Policy, Financing Costs and Firms' Green Transition: A Central Bank Collateral Framework Perspective. Journal of Financial Research, 2021, 498(12): 75-95.
链接本文:  
http://www.jryj.org.cn/CN/  或          http://www.jryj.org.cn/CN/Y2021/V498/I12/75
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