Эффективность зеленых облигаций на развивающихся рынках капитала тема диссертации и автореферата по ВАК РФ 00.00.00, кандидат наук Фрекауцан Ион

• Фрекауцан Ион
• кандидат наук
• 2025

Оглавление диссертации кандидат наук Фрекауцан Ион

Table of contents

Abbreviations:

Introduction

Chapter 1: Theoretical Framework for Green Bond Development in Emerging Markets

1.1 The Rise of Green Bonds in Emerging Markets: A Pathway to Sustainable Growth

1.2 Academic Insights into Green Bond Performance: Pre- and Post-pandemic analysis

1.2.1 Methodological approach for structuring the literature contribution

1.2.2 Research Directions on Green Bond Performance: Pre- and during pandemic time

1.2.3 Post pandemic Research Directions on Green Bond Performance (2022-2024)

1.3 Key Drivers of Green Bond Performance

1.3.1 Corporate governance - key driver for performance of green bonds in the emerging capital markets

1.3.2 Green Bond Connectedness with External Capital Market Assets: A Critical Barometer of Performance

1.4. Concluding remarks

Chapter 2: Internal Corporate Factors Driving Green Bond Performance in Emerging Markets

2.1 Corporate governance - central pillar for green bonds performance

2.2 Data and variables

2.3 Econometric model development

2.4 Results analysis and data interpretation

2.5 Concluding remarks

Chapter 3: External Macroeconomic Drivers of Green Bond Performance in Emerging Markets

3.1 Volatility Spillovers in Green Bonds: Performance Amid Macroeconomic Shocks

3.2 Data and variables

3.3 Econometric model development

3.4 Results analysis, data interpretation and robustness check

3.5 Concluding remarks

Chapter 4: Return Volatility Spillovers in the Russian Green Bond Market

4.1 Performance of Russian green bonds market in the crisis times

4.2 Data and variables

4.3 Econometric model development

4.4 Results analysis, data interpretation and robustness check

4.5 Concluding remarks

Chapter 5: Discussions and conclusions

References

Appendices

Appendix 1. Structure of the keyword's clusters generated by VOSviewer

Appendix 2. Variables definition of the model

Appendix 3. Variable definition of the model

Appendix 4. Russian translation of the dissertation / Перевод диссертации на русский язык

Введение диссертации (часть автореферата) на тему «Эффективность зеленых облигаций на развивающихся рынках капитала»

Introduction

Problem description

Over the past two decades, sustainable finance has emerged as a prominent tool for supporting sustainability-linked activities, which are essential for advancing the sustainable development economic model (Schoenmaker and Schramade, 2018). Notably, sustainable debt issuance has increased almost exponentially, surpassing USD 3.5 trillion in 2022, of which USD 2 trillion are green bond issuance (Climate Bonds Initiative, 2022). These trends indicate that we are currently witnessing a significant transition towards the full implementation of sustainable development models, bolstered by sustainable finance in both developed and emerging capital markets. Sustainable finance takes various forms, with green bonds being the most prevalent, constituting approximately 40% of the total sustainable debt issued globally. As key financial instruments facilitating the green transition, sectors such as energy, construction, and transportation are the primary recipients of green bond proceeds. Collectively, these industries accounted for 75% of the total volume of green bond issuances as of the end of 20231.

Green bonds function as debenture instruments aimed at financing environmentally sustainable projects, embedding covenants that restrict their usability, such as the "use of proceeds" clause. By incorporating sustainability factors into traditional bonds, thereby transforming them into green bonds, a unique financial incentive is created for both investors and issuers. This transformation not only aligns capital markets with environmental objectives but also enhances the financial appeal of these instruments. Consequently, evaluating the performance of green bonds is crucial for both parties, as it influences investment decisions, risk assessments, and the overall effectiveness of sustainable finance mechanisms. Investors are motivated to purchase these instruments due to their alignment with sustainability goals, while issuers benefit from the capacity to generate such products in response to increasing demand for green investments.

The application of sustainable finance varies between developed and emerging capital markets, as they adopt distinct growth models and internalize sustainability factors differently, impacting green bond performance. These drivers may differently influence the performance of green bonds in

1 Source: Climate Bonds Initiative

emerging markets compared to developed ones that might ultimately led to different sustainable development paths between them, discrepancy that might be enhanced by macroeconomic shocks.

One of the most cited motivations for investors to accept lower interest rates when purchasing green bonds is the so-called "greenium" effect, wherein green bonds offer a premium based on their environmental attributes (MacAskill et al., 2021). The green bond yield spread is a fundamental metric for evaluating green bond performance and serves as a key indicator for calculating the green premium (Flammer, 2021). Studying green bond performance through yield spreads and evaluating the impact of corporate governance mechanisms is a priority for research, given the crucial role of corporate governance in both financial and sustainability performance.

In recent years, two significant macroeconomic shocks have fundamentally reshaped the global economic landscape and disrupted capital markets, thereby exerting considerable pressure on the performance of green bonds. As a result, the green bond market has faced challenges across several dimensions, including risk-return characteristics and the allocation of proceeds towards sustainable initiatives. In light of these developments, the analysis of return spillover effects between green bonds and other financial assets, such as energy assets, during periods of economic uncertainty (Karkowska & Urjasz, 2023), offers an additional avenue for assessing the performance of green bonds.

Literature Review and research gaps

Existing literature on the influence of corporate internal factors on the performance of green bonds refers to the implication of the corporate governance mechanisms on the green bonds yield spread. These implications of the corporate governance on the performance of green bonds derives from the stakeholder theory which challenges the traditional agency paradigm. According to stakeholder theory, boards should not exclusively pursue shareholder value but act as neutral arbiters, aligning the diverse interests of financial and non-financial stakeholders. This alignment becomes especially critical in the context of sustainability goals, where the efficient attainment of environmental, social, and governance (ESG) objectives requires shared value creation principles (Foss & Linder, 2019; Garcia et al., 2023; Naciti, 2019).

First, literature explores how specific corporate governance, mechanisms such as board composition, CEO duality, or shareholder protection, correlate with cost of debt. However, the

applicability of these results is often context-dependent, influenced by factors such as types of governance systems (e.g., Anglo-Saxon vs. Continental), capital market maturity (developed vs. emerging markets), macroeconomic conditions, and institutional variables like the rule of law (Filatotchev et al., 2013; Nguyen et al., 2015).

Second, the existing research focuses on corporate social responsibility (CSR) performance embedded into governance mechanisms to analyze the impact on yield spreads and the cost of debt. The scholars show that CSR performance is associated with reduced yield spreads for new regular corporate bond issuers (Ge & Liu, 2015; Salvi et al. 2021), and treats the information asymmetry between issuers and bondholders, ultimately reducing the cost of debt. The broader framework of environmental, social, and governance (ESG) performance has also gained prominence as a screening criterion for both corporate and sovereign bonds (Li et al, 2020; Bagnoli & Watts, 2020; Salvi et al, 2021). Firms with high ESG ratings meeting socially responsible investment (SRI) criteria experience lower bond yield spreads without compromising financial performance (Badia et al. (2019).

Despite these insights, research on the relationship between corporate governance mechanisms and the yield spreads of green bonds in emerging capital markets remains underdeveloped. The complexity of corporate governance mechanisms and their influence on bond yield spreads depends heavily on a number of external factors such as country's regulatory framework, the maturity of its economy and capital markets, and the effectiveness of its government regulatory activities. Existing literature on the influence of external factors on the performance of green bonds refers to the analysis of the return spillover effects of the green bonds over other capital market assets, especially during macroeconomic uncertainty. Green bonds, have emerged as critical instruments within the framework on Modern Portfolio Theory (MPT), have been attracting attention for their potential as hedging tools during periods of market uncertainty and economic shocks. Thus, the current studies on spillover effects of green bonds have focused on two key themes. The first one examines the responsiveness of green bonds to market uncertainty through multiple perspectives, the connectedness of the green bonds with climate policy uncertainty (CPU) (Husain et al. 2022), ESG investment and the financial volatility index (VIX) (Sohag et al. 2022) in the context of geopolitical instability. It was found that green bonds during macroeconomic

uncertainty or in connection with CPU, VIX etc. are less sensitive compared to, for example, renewable energy market.

In recent years, two major global macroeconomic shocks—the COVID-19 pandemic and the geopolitical conflict between Russia and Ukraine—have profoundly altered the trajectory of the global economy, disrupted capital markets and transformed investor behavior. These events have impacted investor strategies concerning green bonds and reshaped priorities related to sustainable development across various regions and countries (Mzoughi et al., 2022; Su et al., 2022; Zhang et al., 2022). Thus, the second theme of research explores the interconnections between green bonds and other market assets, emphasizing their role in hedging and portfolio management across different timeframes and regions. Thus, green bonds in the developed markets act as "safe-haven" instrument for hedging, and also act as effective instruments for portfolio management (Pham and Do, 2022; Mzoughi et al., 2022; Su et al., 2022; Zhang et al., 2022).

A separate stream of literature is devoted to the analysis of performance of green bonds in the Russian capital market assets before and after outbreak of the geopolitical conflict. The existing literature analyzes the return spillover effects between green bonds and energy assets before and after the conflict. For example, W. Jiang et al. found that during the period 2020-2022, the connectedness between traditional energy, new energy, ESG, and green bond markets increased from 19.35% to nearly 30% (after February 2022). Similarly, Adekoya and Oliyide (2022) observed that the geopolitical crisis heightened the level of connectedness between capital market assets during the conflict compared to the pre-conflict period.

A key research gap persists regarding the responsiveness of green bonds to various market conditions, especially the distinction between periods of stability and crisis as well as developed vs emerging capital markets. While green bonds exhibit promising characteristics in stable environments, their vulnerability during extreme conditions such as the pandemic period underscores the need for further exploration of their behavior and integration into portfolio management and risk mitigation strategies.

To summarize, the following research gaps were identified on the performance of green bonds in the emerging capital markets:

1. Internal and external factors influencing green bonds: There is a lack of clear empirical evidence on the influence of corporate governance mechanisms on the performance of green bonds, particularly as an internal factor shaping sustainable finance. Additionally, the role of external country-specific regulatory frameworks in influencing green bond performance remains underexplored.

2. Connectedness with other capital market assets: The extent to which green bonds from emerging economies are interconnected with other capital market assets during periods of macroeconomic instability remains insufficiently examined.

3. Connectedness of Russian Green Bonds in the context of macroeconomic shocks: There is limited empirical research on the degree of connectedness between Russian green bonds and key capital market indices within the period of macroeconomic shocks, driven by geopolitical crises and economic sanctions imposed by Western countries to Russian Federation.

4. Asset portfolio and risk management: the implications of green bonds performance regarding risk-return trade-offs, and cross-market dynamics with other financial assets (e.g., energy assets) during macroeconomic instability remain underexamined in emerging capital markets.

Relevance of the research

The relevancy of the research is given by the necessity to identify performance the green bonds in the emerging capital markets and to evaluate drivers during economic stability and macroeconomic shocks. The relevancy of the performance analysis ultimately implies the identification of the benefits for both beneficiaries and investors of the green bonds. A systematic review of the advantages associated with green bonds reveals that all stakeholders benefit from their issuance, contributing to the broader goals of sustainable development (Flammer, 2021). Specifically, investors in green bonds enjoy risk-adjusted returns, alongside the enhancement of public reputation and corporate image (Karim and Naeem, 2022). Issuers benefit from reduced capital costs, which in turn improves overall corporate performance. Additionally, the promotion of green bonds issuance fosters the development and strengthening of the regulatory framework, taxonomies, green bond standards, ratings, and indices. Ultimately, beneficiaries of green bond financing achieve key sustainability targets, supporting long-term environmental goals.

In conclusion, this study explores two distinct facets of green bond performance:

1. The green bond yield spread, influenced by internal corporate factors (e.g. corporate governance mechanisms) and types of country's regulation.

2. The return volatility spillover of green bonds, shaped by external market factors, particularly the interaction with other capital market assets (e.g. energy assets) during periods of macroeconomic uncertainty.

Scope and objectives of the research

The scope of this research is given by existing literature gaps on different forms of green bond's performance in emerging capital markets.

Evaluating the impact of corporate governance mechanisms on green bond performance is crucial for assessing their viability in emerging markets. Beyond internal factors, external determinants— such as the interconnectedness between green bonds and other asset classes—also warrant investigation. Understanding these linkages helps to assess how macroeconomic shocks influence green bond issuances, the scale of financing, and overall market dynamics.

The goal of the research is to identify the extent to which internal and external factors influence the performance of green bonds in the emerging capital markets in the context of macroeconomic shocks.

To achieve the goal of this study, the objectives are structured as follows:

1. To reveal the influence of corporate governance characteristics on the performance of green bonds within emerging capital markets, - internal factors.

2. To determine the extent of the relationship between corporate governance and yield spreads in emerging markets, with a comparative focus on common-law versus civil-law regulatory systems - external factors.

3. To determine the return spillover effects of green bonds on both clean and traditional energy assets within emerging capital markets - external factors.

4. To evaluate the risk and portfolio management implications of green bonds performance during macroeconomic shocks, investigating their role as hedging instruments.

5. To analyze the connectedness between the Russian green bond market and capital market indexes (e.g. Metals & Mining, Financials, Oil & Gas, electricity and utilities, chemicals, IT, Sustainability Vector Index) during the macroeconomic shocks - external factors.

The object and the subject of the research

The object of the research is green bonds issues from the emerging capital markets and their performance metrics, while the subject of the research consists in the green bonds yield spread relationship to external and internal factors behind governance mechanism and returns volatility spillover effects of green bonds in emerging capital markets.

Заключение диссертации по теме «Другие cпециальности», Фрекауцан Ион

Основные научные результаты

• Подтверждена устойчивость зеленых облигаций развивающихся рынков в условиях кризисов.

• Выявлено, что в периоды неопределенности активы в сфере чистой энергетики и ESG-инвестиции становятся основными источниками распространения волатильности.

• Доказано, что включение зеленых облигаций в портфель способствует его оптимизации и снижению общего риска.

Направления для будущих исследований

С учетом выводов настоящего исследования перспективными направлениями дальнейших исследований являются:

• углубленное изучение взаимосвязи между рынком зеленых облигаций и энергетическим сектором в условиях роста цен на энергоносители и геополитических потрясений;

• анализ возможностей использования зеленых облигаций для финансирования новых секторов устойчивого развития, таких как производство альтернативных белков и развитие устойчивого сельского хозяйства;

• разработка более точных моделей оценки рисков, связанных с выпуском зеленых облигаций, особенно в условиях повышения волатильности рынков капитала и усиления климатических рисков.

Таким образом, данная работа вносит значимый вклад в развитие теоретико-эмпирической базы по устойчивому финансированию, предлагая новые подходы к анализу поведения зеленых облигаций на развивающихся рынках капитала.

Зеленые облигации и технология блокчейн

В рамках проводимого анализа выпуск зеленых облигаций с использованием технологии блокчейн представляет собой важное направление развития, способное существенно трансформировать рынок устойчивого финансирования. Применение блокчейна к процессу эмиссии зеленых облигаций связано с рядом потенциальных последствий — как положительных, так и отрицательных, которые требуют углубленного академического осмысления.

Потенциальные последствия внедрения блокчейна в выпуск зеленых облигаций

• Повышение прозрачности и снижение риска «зеленого пиара»: технология блокчейн обеспечивает создание неизменяемых и открытых записей, что снижает риск манипулирования информацией о проектах и способствует укреплению доверия инвесторов, потенциально увеличивая «зеленую премию».

• Энергоемкость блокчейн-технологий: механизмы консенсуса, основанные на доказательстве выполнения работы (Proof of Work, PoW), потребляют значительное количество энергии, что противоречит экологическим целям эмитентов зеленых облигаций и может негативно сказаться на их восприятии инвесторами.

• Риски кибербезопасности: системы выпуска облигаций на базе блокчейна подвержены угрозам кибератак, что способно повлиять на надежность всей цепочки создания стоимости зеленых облигаций и снизить уровень доверия к ним.

• Централизация майнинга: рост концентрации вычислительных мощностей в руках ограниченного числа участников нарушает принцип децентрализации, что создает угрозу безопасности блокчейн-сетей и ставит под сомнение стабильность выпущенных через них зеленых облигаций.

Интеграция блокчейна и рынка зеленых облигаций знаменует начало новой эры в области устойчивого финансирования, способствуя демократизации инвестиций за счет привлечения розничных инвесторов. Вместе с тем требуется всесторонний анализ преимуществ и рисков этой технологической интеграции для оценки ее долгосрочного влияния.

Преимущества применения блокчейна на рынке зеленых облигаций

• Повышенная прозрачность и автоматизация процессов: блокчейн позволяет автоматизировать и сделать прозрачными процессы выпуска и торговли облигациями, снижая риски манипулирования данными.

• Неизменяемость и мгновенная передача прав собственности: передача активов через блокчейн сопровождается немедленным внесением записей в защищенный реестр, что обеспечивает высокую степень подотчетности.

• Снижение транзакционных издержек: исключение посредников за счет децентрализации значительно уменьшает издержки на проведение транзакций.

• Фракционирование активов: блокчейн позволяет дробить крупные выпуски облигаций, расширяя доступ к инвестициям в устойчивое развитие для розничных инвесторов.

• Оперативная отчетность по экологическим показателям: блокчейн-технологии позволяют предоставлять данные об экологической эффективности в режиме, близком к реальному времени.

• Глобальная мобилизация капитала: технология способствует устранению барьеров для трансграничных инвестиций в устойчивые проекты.

Ограничения и риски блокчейна для развития рынка зеленых облигаций

• Сложность отдельных процедур: несмотря на автоматизацию многих процессов, остается необходимость в традиционных юридических и регуляторных проверках.

• Необходимость листинга на традиционных платформах: для обеспечения рыночной видимости и соблюдения нормативных требований зеленые облигации должны быть зарегистрированы на признанных площадках.

• Отсутствие единого подхода к классификации активов: неопределенность в установлении классов активов на основе блокчейна создает риски для их признания и регулирования.

• Неполнота экологической отчетности: текущие системы блокчейн недостаточно интегрированы с механизмами сбора полных данных о достижении экологических целей.

• Незрелость регулирования: развитие нормативной базы осуществляется неравномерно, что затрудняет широкое применение блокчейна для выпуска зеленых облигаций.

• Недостаточное развитие национальных правовых систем: во многих странах нормативная поддержка таких выпусков остается на начальной стадии.

Интеграция технологии блокчейн в рынок зеленых облигаций требует продолжения академических исследований, в частности в следующих направлениях:

• оценка экологических компромиссов блокчейна (например, в контексте энергопотребления);

• анализ рисков кибербезопасности;

• изучение влияния на восприятие риска инвесторами и на динамику «зеленой премии».

Таким образом, блокчейн предлагает рынку зеленых облигаций значительные преимущества в части повышения прозрачности, снижения издержек и расширения глобального доступа к устойчивому финансированию. Вместе с тем остаются нерешенными важные проблемы, такие как высокая энергоемкость технологий, регуляторные барьеры и риски безопасности. Будущие научные исследования должны быть сосредоточены на преодолении этих вызовов для оптимизации роли блокчейна в устойчивом финансировании и ускорения глобального перехода к экономике с низким уровнем выбросов.

Зеленые облигации и «зеленая инфляция»

Финансовая двойственность зеленых облигаций и устойчивого развития, рассмотренная в данном исследовании, позволяет глубже понять эволюцию новой экономической парадигмы и ее положительный вклад в глобальное развитие. Устойчивое развитие, включающее инициативы по декарбонизации, построению экономики с нулевыми выбросами и развитию циркулярной экономики, стало краеугольным камнем современных макроэкономических моделей. Однако процесс перехода сопряжен с рядом издержек и ограничений, которые должны быть признаны и преодолены как развитыми, так и развивающимися рынками капитала. Одним из таких негативных эффектов является явление «зеленой инфляции» — рост цен на сырье и энергию, обусловленный переходом к «зеленой» экономике. Это издержки, которые общество должно понести для достижения целей устойчивого развития.

Простой поиск термина «зеленая инфляция» в базе данных Scopus по названиям статей, аннотациям и ключевым словам выявил только одну публикацию, что свидетельствует о недостаточном академическом внимании к ограничивающим аспектам устойчивого развития. В основном научные исследования сосредоточены на позитивных сторонах зеленого перехода, в то время как анализ его потенциальных издержек остается фрагментарным.

Тема «зеленой инфляции», особенно в контексте устойчивого финансирования, в основном обсуждается на уровне центральных банков. Например, аналитики NATIXIS Corporate and Investment Banking выделяют три основных источника «зеленой инфляции»:

1. Несогласованный переход к низкоуглеродной энергетике: отказ от ископаемого топлива приводит к нестабильности рынков первичных энергоносителей и, как следствие, — к росту цен.

2. Нарушения цепочек поставок, вызванные изменением климата: экстремальные погодные явления нарушают логистические цепочки, провоцируя так называемую климатическую инфляцию.

3. Дефицит сырьевых ресурсов: высокий спрос на такие материалы, как медь, алюминий и кобальт, используемые в технологиях возобновляемой энергетики и электромобилях, приводит к росту цен.

В отчетах Европейского центрального банка (ЕЦБ) подчеркивается, что за последние три года цены на энергоносители, особенно на электроэнергию, газ и транспорт, стали одними из ключевых факторов инфляционного давления в ЕС. Степень инфляции в каждой стране значительно коррелирует со структурой ее энергетического баланса, что указывает на то, что развитие возобновляемых источников энергии в долгосрочной перспективе может служить механизмом смягчения инфляционных рисков.

С другой стороны, некоторые исследования, в частности работа Ferrari and Landi (2022), выдвигают гипотезу о дефляционном эффекте зеленого перехода в краткосрочной перспективе. По их мнению, ожидаемое введение углеродных налогов может сдерживать потребление, оказывая дефляционное давление, даже несмотря на рост производственных затрат.

Особый интерес представляет вопрос о прозрачности систем торговли выбросами (ETS) и их влиянии на процессы ценообразования. Эффективная передача стоимости выбросов CO2 в рыночные цены может способствовать переходу к менее углеродоемким источникам энергии. Однако реальное влияние этих процессов пока остается предметом научных дискуссий (Herold et al., 2022).

Исследование Федерального резервного банка Нью-Йорка (Del Negro et al., 2023)

представило условную экономическую модель, показывающую, что последствия «зеленой инфляции» зависят от:

• ценовой эластичности: способности цен на зеленые и «коричневые» товары адаптироваться к изменениям спроса и предложения;

• политики центральных банков: применяемых стратегий денежно-кредитного регулирования в условиях перехода;

• инструментов государственной политики: стимулирования (субсидий) или налогообложения.

Если ценовая эластичность высока, то риск устойчивого инфляционного давления снижается. При низкой эластичности может возникнуть необходимость стимулирования производства «зеленых» товаров и услуг, что создает дополнительные риски для достижения инфляционных целей центральных банков.

Таким образом, «зеленая инфляция» остается значительным вызовом на пути к экономике с нулевыми выбросами. Ее эффективное управление требует активной координации действий как на микро-, так и на макроуровне. Компании должны находить баланс между достижением целей устойчивого развития и сохранением конкурентоспособности, а правительства — между поддержанием макроэкономической стабильности и продвижением климатических инициатив.

Будущие исследования должны быть направлены на более глубокое изучение экономических и социальных последствий «зеленой инфляции», а также на разработку оптимальных политических инструментов, которые позволят одновременно смягчить ее негативные эффекты и ускорить достижение глобальных климатических целей.

Ограничения исследования

Проведенное исследование имеет ряд ограничений, которые следует учитывать при интерпретации его эмпирических результатов, особенно в части анализа внутренних и внешних факторов.

Отсутствие раскрытия нефинансовой информации на развивающихся рынках. Одним из ключевых ограничений является низкий уровень обязательного раскрытия нефинансовой информации компаниями на развивающихся рынках капитала, включая отчеты по показателям ESG. Отсутствие стандартизированного раскрытия затрудняет сбор и оценку данных поставщиками информации, такими как Thomson Reuters, что ограничивает полноту и репрезентативность нашего эмпирического анализа.

Надежность данных ESG. Еще одним важным ограничением является надежность используемых данных ESG. Как отмечают Berg et al. (2021), данные, предоставляемые платформой Refinitiv/Asset 4, подвергаются частым пересмотрам, что указывает на возможность предвзятости или неконсистентности данных. Хотя это не дискредитирует полностью используемые источники, данное обстоятельство должно учитываться при интерпретации результатов.

Низкая ликвидность зеленых облигаций на развивающихся рынках. Ликвидность зеленых облигаций в странах с формирующейся экономикой значительно уступает аналогичным показателям на развитых рынках капитала. Сниженная ликвидность может оказывать влияние на спреды доходности и волатильность активов, что в свою очередь сказывается на достоверности полученных эмпирических выводов.

Ограниченная репрезентативность российского рынка зеленых облигаций. Ввиду относительно небольшого объема российского рынка зеленых облигаций и ограниченного числа эмитентов, включенных в состав синтетического индекса, результаты, касающиеся российского рынка, следует интерпретировать с осторожностью. Небольшой размер выборки может ограничивать обобщаемость выводов.

Эти ограничения не умаляют ценности настоящего исследования, а, напротив, указывают на перспективные направления для будущей научной работы по мере расширения доступности данных и развития устойчивого финансирования на развивающихся рынках.

Последствия исследования

Настоящее исследование имеет ряд практических последствий как для участников рынка, так и для политиков и регуляторов.

Для инвесторов и управляющих активами

Анализ направлений распространения волатильности между индексом российских зеленых облигаций (RUGBI) и ведущими индексами Московской биржи предоставляет ценную

информацию для построения стратегий управления рисками и оптимизации портфеля. Применение полученных результатов может помочь инвесторам:

• разрабатывать более устойчивые и эффективные стратегии хеджирования в условиях экономической неопределенности;

• использовать зеленые облигации как элемент диверсификации портфеля, способствующий снижению риска и поддержке устойчивого развития;

• содействовать росту российского рынка зеленых облигаций, тем самым стимулируя переход к низкоуглеродной модели экономики.

Для политиков и регуляторов

Результаты исследования могут быть использованы для совершенствования государственной политики в области устойчивого финансирования:

• укрепление механизмов государственного управления и верховенства права для

создания благоприятной среды выпуска зеленых облигаций;

• совершенствование корпоративного управления с учетом особенностей правовых систем (гражданского, общего и смешанного права) для повышения эффективности устойчивых финансовых инструментов;

• формирование продуманной регуляторной среды, обеспечивающей интеграцию принципов устойчивого развития в стратегии компаний;

• разработка программ стимулирования перехода к возобновляемым источникам энергии при поддержке устойчивого финансирования;

• создание механизмов поддержки энергетического перехода, включая финансирование инновационных технологий в энергетике;

• содействие финансовизации энергетических рынков, что позволит увеличить инвестиционные потоки в устойчивые проекты и обеспечить большую стабильность финансовой системы.

Комплексная реализация этих мер будет способствовать ускоренному достижению Россией целей устойчивого развития и выполнению ее обязательств в рамках международных климатических соглашений.

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