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<p>In the context of global climate change, carbon neutral bonds have emerged as important financial instruments to support the low carbon transition. However, their value may be underestimated by existing approaches that neglect environmental externalities and policy uncertainty, which may weaken pricing effectiveness and limit their role in supporting low carbon transformation. This study develops an integrated valuation framework in which the valuation object is defined as a hybrid value discovery construct. The framework examines carbon neutral bond value through linked valuation layers. The straight bond component is estimated using an income based approach, while monetized environmental benefits are used to construct the underlying environmental asset for option valuation rather than being added again as an independent cash flow item. Policy uncertainty is incorporated through a fuzzy real option model, with volatility dynamics forecasted using an ARIMA- GARCH specification and policy uncertainty proxied by the China Economic Policy Uncertainty Index. The framework is applied to five representative carbon neutral bonds issued in China, covering clean energy, clean transportation, industrial low carbon transformation, sustainable buildings, and biomass energy utilization. The results show that the straight bond values range from 100.89 to 102.69 CNY, and the monetized environmental benefits range from 0.37 to 43.48 CNY per bond. Moreover, the option values estimated by the fuzzy real option model are consistently higher than those obtained from the traditional model, suggesting that, in the selected cases, issuance prices may not fully reflect the environmental benefit related flexibility captured by the proposed framework. This study provides exploratory case evidence and a methodological reference for carbon neutral bond valuation.</p>

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Value discovery for carbon-neutral bonds under integrated environmental benefits and policy flexibility: evidence from five bonds in China

  • 期刊论文

  • 发表日期：

    2026年7月4日

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  • Sisi He,
  • Ling Liao,
  • Danyao Li,
  • Xiaodan Liu

摘要

In the context of global climate change, carbon neutral bonds have emerged as important financial instruments to support the low carbon transition. However, their value may be underestimated by existing approaches that neglect environmental externalities and policy uncertainty, which may weaken pricing effectiveness and limit their role in supporting low carbon transformation. This study develops an integrated valuation framework in which the valuation object is defined as a hybrid value discovery construct. The framework examines carbon neutral bond value through linked valuation layers. The straight bond component is estimated using an income based approach, while monetized environmental benefits are used to construct the underlying environmental asset for option valuation rather than being added again as an independent cash flow item. Policy uncertainty is incorporated through a fuzzy real option model, with volatility dynamics forecasted using an ARIMA- GARCH specification and policy uncertainty proxied by the China Economic Policy Uncertainty Index. The framework is applied to five representative carbon neutral bonds issued in China, covering clean energy, clean transportation, industrial low carbon transformation, sustainable buildings, and biomass energy utilization. The results show that the straight bond values range from 100.89 to 102.69 CNY, and the monetized environmental benefits range from 0.37 to 43.48 CNY per bond. Moreover, the option values estimated by the fuzzy real option model are consistently higher than those obtained from the traditional model, suggesting that, in the selected cases, issuance prices may not fully reflect the environmental benefit related flexibility captured by the proposed framework. This study provides exploratory case evidence and a methodological reference for carbon neutral bond valuation.