碳市场建设在债券市场的溢出效应：债券信用利差的视角

Since 2011, China has established pilot carbon emission trading schemes (ETS), commonly known as “carbon markets”, across eight provincial and municipal regions. In 2021, a unified national carbon market was officially launched, initially covering the power sector. As a pivotal institutional innovation in climate governance, carbon markets convert corporate carbon emission rights into a priced production factor, which can substantially reshape investor risk perceptions and resource allocation decisions in capital markets. Existing literature predominantly focuses on risk spillovers and asset pricing dynamics in the stock market, while there is still little systematic theoretical elaboration and empirical evidence regarding the spillover effects of carbon markets on the bond market. Therefore, this paper investigates the impact of carbon market implementation on credit risk pricing in the bond market, with a specific focus on corporate bond credit spreads.

Taking China’s A-share listed companies that publicly issued enterprise bonds, corporate bonds, and medium-term notes between 2010 and 2024 as samples, this paper constructs a quasi-natural experiment using the staggered rollout of regional carbon markets. The results show that carbon market implementation significantly reduces credit spreads for carbon-regulated firms. Subsample analysis based on bond categories documents an asymmetric pricing effect: Carbon markets significantly narrow the spreads of green and low-carbon bonds while widening those of conventional bonds, and the reduction in the spreads of green bonds exceeds the increase in the spreads of conventional bonds. Mechanism testing reveals that enhanced expectations of corporate low-carbon transformation benefits, driven by carbon markets’ dual incentive and constraint mechanisms, serve as the primary channel underlying the overall decline in corporate bond credit spreads. Heterogeneity analysis indicates that the effect is stronger when the initial carbon quota requires payment of consideration or non-compliant participants are more active, carbon risk exposure at the regional and industry levels is higher, and investor attention to corporate carbon risks is greater.

This paper makes the following marginal contributions: First, it sheds light on the cross-market spillover effects of China’s carbon market development by linking carbon regulation to bond pricing dynamics from the credit spread perspective. Second, it expands the set of determinants of corporate bond credit spreads and extends the theoretical framework explaining how macro market-oriented environmental policies shape bond investors’ pricing behaviors. Third, it provides empirical evidence for policymakers to optimize carbon market frameworks and maximize the positive environmental and economic outcomes of this market-oriented climate governance mechanism.