EPI score effect on the Portuguese government bond yield spread
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/41421 |
Resumo: | This dissertation aims to understand if there is a relationship between environmental policies and the Portuguese cost of borrowing. I use a linear regression to estimate two models, one for the two years of government bond maturity to assess the relationship with the short-term cost of borrowing and the other for ten years of government bond maturity to estimate the association with the long-term cost of borrowing. The model controls for macroeconomic performance, fiscal conditions, foreign borrowing, inflation rate, labour productivity, demographic situation, global risk aversion, liquidity risk and, more importantly, the Environmental Performance Index. The results of the regressions estimated for the short-term maturity model and long-term model suggest that the EPI score has a positive relationship with the Portuguese government bond yield spread independently of the maturity of the bond. Furthermore, the EPI score is statistically significant for both maturities. This means that an EPI score increase is associated with an increase in the yield spread. The results of the analysis performed in this dissertation are that the environmental policies may have an opposite effect than the one expected (Capelle-Blancard, G., Crifo, P., Diaye, M.-A., Oueghlissi, R., & Scholtens, B. 2016), being associated with an increase (rather than a decrease) of the government cost of borrowing. That said, it is possible that these results are directly attributable to external factors that occurred during the time period studied (the introduction of the Euro, the subprime crisis and the government debt crisis). |
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EPI score effect on the Portuguese government bond yield spreadEnvironmentalGovernment bond yield spreadAmbienteSpread da yield das obrigações do EstadoDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation aims to understand if there is a relationship between environmental policies and the Portuguese cost of borrowing. I use a linear regression to estimate two models, one for the two years of government bond maturity to assess the relationship with the short-term cost of borrowing and the other for ten years of government bond maturity to estimate the association with the long-term cost of borrowing. The model controls for macroeconomic performance, fiscal conditions, foreign borrowing, inflation rate, labour productivity, demographic situation, global risk aversion, liquidity risk and, more importantly, the Environmental Performance Index. The results of the regressions estimated for the short-term maturity model and long-term model suggest that the EPI score has a positive relationship with the Portuguese government bond yield spread independently of the maturity of the bond. Furthermore, the EPI score is statistically significant for both maturities. This means that an EPI score increase is associated with an increase in the yield spread. The results of the analysis performed in this dissertation are that the environmental policies may have an opposite effect than the one expected (Capelle-Blancard, G., Crifo, P., Diaye, M.-A., Oueghlissi, R., & Scholtens, B. 2016), being associated with an increase (rather than a decrease) of the government cost of borrowing. That said, it is possible that these results are directly attributable to external factors that occurred during the time period studied (the introduction of the Euro, the subprime crisis and the government debt crisis).Esta dissertação visa compreender se existe uma relação entre as políticas ambientais e o custo para o governo português de emitir obrigações. Utilizo uma regressão linear para estimar dois modelos, um para os dois anos de maturidade das obrigações do Estado para avaliar a relação com o custo a curto prazo e outro para os dez anos de maturidade das obrigações do Estado para estimar a associação com o custo a longo prazo. O modelo controla o desempenho macroeconómico, as condições fiscais, o endividamento externo, a taxa de inflação, a produtividade laboral, a situação demográfica, a aversão ao risco global, o risco de liquidez e, mais importante, o Índice de Desempenho Ambiental. Os resultados das regressões estimadas para o modelo de maturidade de curto prazo e modelo de longo prazo sugerem que a pontuação do EPI tem uma relação positiva com o spread da yield das obrigações do Estado português, independentemente da maturidade da obrigação. Adicionalmente, a pontuação do EPI é estatisticamente significativa para ambos os prazos de vencimento. Isto significa que um aumento da pontuação do EPI está associado a um aumento do spread da yield. Os resultados da análise realizada nesta dissertação são que as políticas ambientais podem ter um efeito contrário ao esperado, estando associadas a um aumento (e não a uma diminuição) do custo do emitir obrigações por parte do governo. Dito isto, é possível que estes resultados sejam diretamente atribuíveis a fatores externos que ocorreram durante o período estudado.Bonfim, Diana Carina Ribeiro GuimarâesVeritati - Repositório Institucional da Universidade Católica PortuguesaFreitas, José Maria Amador Rodrigues de2023-06-23T14:50:31Z2023-01-232023-012023-01-23T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/41421TID:203318030enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:47:00Zoai:repositorio.ucp.pt:10400.14/41421Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:34:06.891147Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
EPI score effect on the Portuguese government bond yield spread |
title |
EPI score effect on the Portuguese government bond yield spread |
spellingShingle |
EPI score effect on the Portuguese government bond yield spread Freitas, José Maria Amador Rodrigues de Environmental Government bond yield spread Ambiente Spread da yield das obrigações do Estado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
EPI score effect on the Portuguese government bond yield spread |
title_full |
EPI score effect on the Portuguese government bond yield spread |
title_fullStr |
EPI score effect on the Portuguese government bond yield spread |
title_full_unstemmed |
EPI score effect on the Portuguese government bond yield spread |
title_sort |
EPI score effect on the Portuguese government bond yield spread |
author |
Freitas, José Maria Amador Rodrigues de |
author_facet |
Freitas, José Maria Amador Rodrigues de |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bonfim, Diana Carina Ribeiro Guimarâes Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Freitas, José Maria Amador Rodrigues de |
dc.subject.por.fl_str_mv |
Environmental Government bond yield spread Ambiente Spread da yield das obrigações do Estado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Environmental Government bond yield spread Ambiente Spread da yield das obrigações do Estado Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This dissertation aims to understand if there is a relationship between environmental policies and the Portuguese cost of borrowing. I use a linear regression to estimate two models, one for the two years of government bond maturity to assess the relationship with the short-term cost of borrowing and the other for ten years of government bond maturity to estimate the association with the long-term cost of borrowing. The model controls for macroeconomic performance, fiscal conditions, foreign borrowing, inflation rate, labour productivity, demographic situation, global risk aversion, liquidity risk and, more importantly, the Environmental Performance Index. The results of the regressions estimated for the short-term maturity model and long-term model suggest that the EPI score has a positive relationship with the Portuguese government bond yield spread independently of the maturity of the bond. Furthermore, the EPI score is statistically significant for both maturities. This means that an EPI score increase is associated with an increase in the yield spread. The results of the analysis performed in this dissertation are that the environmental policies may have an opposite effect than the one expected (Capelle-Blancard, G., Crifo, P., Diaye, M.-A., Oueghlissi, R., & Scholtens, B. 2016), being associated with an increase (rather than a decrease) of the government cost of borrowing. That said, it is possible that these results are directly attributable to external factors that occurred during the time period studied (the introduction of the Euro, the subprime crisis and the government debt crisis). |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-06-23T14:50:31Z 2023-01-23 2023-01 2023-01-23T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/41421 TID:203318030 |
url |
http://hdl.handle.net/10400.14/41421 |
identifier_str_mv |
TID:203318030 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132067589521408 |