ABSTRACT
At the 75th session of the United Nations General Assembly in September 2020,
General Secretary Xi Jinping proposed that China should achieve carbon peaking in
2030 and carbon neutrality by 2060, referred to as the "double carbon" target as the
direction of China's efforts in climate work. Then in 2021, carbon neutral bond, a new
kind of green bond, was officially listed in China. As an emerging product, carbon
neutral bonds can be studied and analyzed from multiple perspectives.
This paper studies and analyzes the issue pricing of carbon neutral bonds. Firstly,
this paper briefly introduces the general environment of green finance and the
issuance and promotion of green bonds at home and abroad, then briefly introduces
the issuance of carbon neutral bonds. This paper then analyzes the connection and
difference between carbon neutral bonds and green bonds, and proposes ideas to study
the pricing problem of carbon neutral bond issuance.
Then, this paper makes a theoretical analysis on the issue pricing of carbon
neutral bonds. Based on the relationship and difference between carbon neutral bonds
and ordinary corporate bonds, this paper makes a theoretical analysis and summary on
the issue pricing of carbon neutral bonds through the relationship between interest
rate, callable right and callable right and social effect, combining quantitative analysis
of bond cash flow, risk premium and social benefit and obtains a comprehensive
model of issue pricing of carbon neutral bonds. The above comprehensive model is
affected by factors such as bond scale, bond issuance coupon rate, credit risk
compensation interest rate, bond term, carbon emission right unit price and so on, and
the quantitative relationship can be obtained from the above factors through equation.
In the part of empirical analysis, this paper makes OLS regression analysis on
some factors that may affect the issuance pricing of carbon neutral bonds and the
interest spread of carbon neutral bonds. It is concluded that the credit rating, bond
term, enterprise attribute, ownership status and whether it is urban investment bonds
will have a significant impact on the pricing of carbon neutral bonds, and the impact
of other factors on the pricing of bonds is not significant. Subsequently, on the basis
of the above model, this paper divides carbon neutral bonds into energy and non-
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energy carbon neutral bonds, and classifies them for regression analysis. The results
of the classification regression deviate greatly from the summary model, and there are
also large differences in the factors that significantly affect the interpreted variables,
indicating that the linear regression model has poor ability to interpret the pricing of
carbon-neutral bonds.
Then, in the empirical analysis part, this paper empirically tests the
comprehensive model of carbon neutral bond issuance pricing obtained in the
theoretical analysis part. By screening some representative bonds that meet the
conditions, this paper sets the values into the comprehensive model, and obtains more
stable and measurable results. Finally, this paper analyzes the results of the theoretical
analysis and empirical test process, summarizes and analyzes the shortcomings of the
research, and puts forward policy suggestions.
KEYWORDS : Green Bonds; Carbon Neutral Bonds; National Carbon Emissions
Trading Market; Social Effects Surplus
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签字日期：2022年 5月 23日
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