Beyond the Coupon: Climate Risk and the Quantity-Maturity Design of Chinese Interbank Bonds

Abstract

This paper examines whether climate risk reaches the primary bond market through contract margins that coupon regressions do not observe: the amount placed, the initial maturity, the use of perpetual structures, and the decision to issue at all. The sample contains 1,468 Chinese interbank medium-term notes issued by 165 listed legal entities during 2010–2025. Three distinct exposures—registered-location weather, national emissions-trading-system (ETS) coverage matched by legal entity and date, and climate-risk language in the latest available annual report—enter issuer and issue-month fixed-effects models. None of the nine principal transaction-level coefficients survives issuer-clustered wild-bootstrap inference and multiplicity correction. The nulls are not equally informative: equivalence tests exclude effects beyond ±10% only for the language measure in the issue-size and maturity equations, while most remaining intervals are too wide to establish economically small effects. ETS estimates depend on changes among only 17 transaction-level issuers. In the zero-inclusive annual panel, issuance rises before firms enter ETS scope as well as afterward, ruling out a causal policy interpretation. The contribution is therefore a mapped identification boundary: observable climate exposure does not generate a common within-issuer shift across these contract margins, but the design also shows precisely where measurement, support, and statistical power prevent stronger conclusions.

Author abstract from the research manuscript. Typography and line breaks have been normalized; the linked source may show a different manuscript version.