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題名 探討碳排放對企業信用違約距離之變動
How Carbon Emission Affects Changes In Firm’s Credit Default Distance
作者 許家晟
Hsu, Chia-Chen
貢獻者 江彌修
Chiang, Mi-Hsiu
許家晟
Hsu, Chia-Chen
關鍵詞 信用風險
違約距離
碳排放
巴黎氣候協定
氣候政策監管
Climate Change
Credit Risk
Paris Agreement
Distance to Default
Carbin Footprint
日期 2023
上傳時間 6-Jul-2023 16:46:59 (UTC+8)
摘要 本文旨在探討自 2013 年至 2020 年，台灣上市上櫃公司樣本中因為氣候變化 而造成的暴露和公司信用風險之間的關係。研究結果顯示出，企業的信用違約距 離和公司的碳排放與碳強度呈現負相關。因此，在其他條件不變的情況下，市場 認為具有較高碳足跡的公司更有可能違約。而碳足跡在經過外生政策衝擊(巴黎 氣候協定)之下，減少了違約距離點，顯示出國家政策的制定者意圖實施更嚴格 的氣候監管政策。總結來說，這些結果說明公司暴露在氣候風險下，會影響企業 發行的貸款和債券的信用價值，金融監理機構和法規制定應該審慎考慮氣候變化風險對銀行和金融市場穩定性所帶來的影響。
This study investigates the relationship between climate change exposure and company credit risk among a sample of Taiwan’s companies from 2013 to 2020. The research findings reveal a negative correlation between Merton Default Distance and carbon emissions, as well as carbon intensity. This suggests that, under unchanged conditions, companies with higher carbon footprints are perceived by the market as being more prone to default. Furthermore, the carbon footprint, after experiencing exogenous policy impacts such as the Paris Agreement, has reduced the default distance, demonstrating the intention of policy makers to implement stricter climate regulatory policies. In summary, these results demonstrate that companies exposed to climate risk can affect the creditworthiness of their issued loans and bonds. Therefore, financial regulatory institution and policy-makers should carefully consider the impact of climate change risks on stability of banks and financial market when formulating regulations and conducting oversight.
參考文獻 中文參考文獻
詹場、黃照鈜、邱建嘉、柯文乾(2021)。強制出具企業社會責任報告書對流動 性及風險之影響。會計評論，第 72 期，35-82。
英文參考文獻
Battiston, S., Mandel, A., Monasterolo, I., Schütze, F., Visentin, G. (2017). A climate stresstest of the financial system. Nature Climate Change, 7 (4): 283-288.
Bauer, R., Hann, D. (2010). Corporate environmental management and credit risk. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1660470.
Becker, M.G., Martin, F., Walter, A. (2022). The power of ESG transparency: The effect of the new SFDR sustainability labels on mutual funds and individual investors. Finance Research Letters, 47(B).
Bento, N., Borello, M., Gianfrate, G. (2020). Market-pull policies to promote renew- able energy: a quantitative assessment of tendering implementation. Journal of Cleaner Produtcion 248, 119209 https://doi.org/10.1016/j.jclepro.2019.119209. ISSN 0959- 6526.
Bento, N., Gianfrate, G. (2020). Determinants of internal carbon pricing. Energy Policy 143C, 111499. https://doi.org/10.2139/ssrn.1660470.
Bharath, S.T., Shumway, T. (2008). Forecasting default with the Merton distance to default model. The Review of Financial Studies, Vol.21 (3), 1339-1369.
Brockman, O., Turtle, H.J. (2003). A barrier option framework for corporate security valuation. Journal of Financial Economics, Vol.67 (3), 511-529.
Breeden, S. (2019). Avoiding the storm: Climate change and the financial system. https://www.bankofengland.co.uk
Busch, T., Johnson, M., Pioch, T., Kopp, M. (2018). Consistency of Corporate Carbon Emission Data. University of Hamburg/WWF Deutschland, Hamburg.
Card and Krueger (1994). Comment on David Neumark and William Wascher, “Employment Effects of Minimum and Subminimum Wages: Panel Data on State Minimum Wage Laws”. Industrial and Labor Relations Review, 47(3).
Chapple, L., Clarkson, P. M., & Gold, D. L. (2013). The cost of carbon: Capital market effects of the proposed emission trading scheme (ETS). Abacus, 49(1),1–33.
Chava. (2014). Environmental externalities and cost of capital. Management Science 60 (9) https://doi.org/10.1287/mnsc.2013.1863.
Chen, Y. C., Hung, M., Wang, Y. (2018). The effect of mandatory CSR disclosure on firm profitability and social externalities: Evidence from China. Journal of Accounting and Economics, 65(1):169-190.
Chen, Z., Xie, G. (2022). ESG disclosure and financial performance: Moderating role of ESG investors. International Review of Financial Analysis. 83 https://doi.org/10.1016/j.irfa.2022.102291.
de Greiff, K., Delis, M., Ongena, S. (2018). Being Stranded on the Carbon Bubble? Climate Policy Risk and the Pricing of Bank Loans. CEPR Discussion Papers.
Gianfrate, G., Lorenzato, G. (2019). Stimulating non-bank financial institutions’ participation in green investments. In: Sachs, J., Woo, W., Yoshino, N., Taghi- zadeh-Hesary, F. (Eds.), Handbook of Green Finance. Sustainable Development. Springer, Singapore.
Gianfrate, G., Peri, M. (2019). The green advantage: exploring the convenience of issuing green bonds. Journal Cleaner Production, 219 https://doi.org/10.1016/ j.jclepro.2019.02.022.
Ginglinger, E., Quentin, M. (2019). “Climate risk and capital structure”. Universite’ paris-dauphine research paper No. 3327185. Available at: SSRN. https://ssrn. com/abstract1⁄43327185.
Hoepner, A.G.F., Nilsson, M.A. (2017). No News Is Good News: Corporate Social Re- sponsibility Ratings and Fixed Income Portfolios. Working Paper.
Ilhan, Emirhan, Sautner, Zacharias, Vilkov, Grigory, March 4, 2020. Carbon tail risk. Available at: SSRN. https://ssrn.com/abstract1⁄43204420. https://doi.org/10. 2139/ssrn.3204420.
Kleimeier, Stefanie, Viehs, Michael, January 7 (2018). Carbon disclosure, emission levels, and the cost of debt. Available at: SSRN.
https://ssrn.com/ abstract1⁄42719665. https://doi.org/10.2139/ssrn.2719665.
Krueger, P., Sautner, Z., Starks, L.T. (2019). “The Importance of Climate Risks for
Institutional Investors”, Review of Financial Studies (forthcoming).
Martins, H.C. (2022). Competition and ESG practices in emerging markets: Evidence
from a difference-in-differences model. Finance Research Letters, 46(A). Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates.
Journal of Finance, 28 (2):449-470.
Monasterolo, I., de Angelis, L. (2019). Blind to carbon risk? An analysis of stock market’s reaction to the Paris agreement. Available at: SSRN. https://ssrn.com/ abstract1⁄43298298.
Oikonomou, I., Brooks, C., Pavelin, S. (2014). The effects of corporate social perfor- mance on the cost of corporate debt and credit ratings. Financial Review 49, 49- 75.
Saka, C., Oshika, T. (2014). Disclosure effects, carbon emissions and corporate value. Sustainability Accounting, Management and Policy Journal, 5 (1):22-45.
Tudela, M., Young, G. (2005). A merton-model approach to assessing the default risk OF UK public companies”. International Journal of Theoretical and Applied Finance, 8 (6):737-761. https://doi.org/10.1142/S0219024905003256, 2005.
Zeitun, R., Tian, G., Keen, K. (2007). Default Probability for the Jordanian Companies: a Test of Cash Flow Theory. Faculty of Commerce - Papers Archive.
Zmijewski, M.E. (1984). Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research, 22:59-82.
描述 碩士
國立政治大學
金融學系
110352016
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352016
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.advisor Chiang, Mi-Hsiuen_US
dc.contributor.author (Authors) 許家晟zh_TW
dc.contributor.author (Authors) Hsu, Chia-Chenen_US
dc.creator (作者) 許家晟zh_TW
dc.creator (作者) Hsu, Chia-Chenen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:46:59 (UTC+8)-
dc.date.available 6-Jul-2023 16:46:59 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:46:59 (UTC+8)-
dc.identifier (Other Identifiers) G0110352016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145860-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 110352016zh_TW
dc.description.abstract (摘要) 本文旨在探討自 2013 年至 2020 年，台灣上市上櫃公司樣本中因為氣候變化 而造成的暴露和公司信用風險之間的關係。研究結果顯示出，企業的信用違約距 離和公司的碳排放與碳強度呈現負相關。因此，在其他條件不變的情況下，市場 認為具有較高碳足跡的公司更有可能違約。而碳足跡在經過外生政策衝擊(巴黎 氣候協定)之下，減少了違約距離點，顯示出國家政策的制定者意圖實施更嚴格 的氣候監管政策。總結來說，這些結果說明公司暴露在氣候風險下，會影響企業 發行的貸款和債券的信用價值，金融監理機構和法規制定應該審慎考慮氣候變化風險對銀行和金融市場穩定性所帶來的影響。zh_TW
dc.description.abstract (摘要) This study investigates the relationship between climate change exposure and company credit risk among a sample of Taiwan’s companies from 2013 to 2020. The research findings reveal a negative correlation between Merton Default Distance and carbon emissions, as well as carbon intensity. This suggests that, under unchanged conditions, companies with higher carbon footprints are perceived by the market as being more prone to default. Furthermore, the carbon footprint, after experiencing exogenous policy impacts such as the Paris Agreement, has reduced the default distance, demonstrating the intention of policy makers to implement stricter climate regulatory policies. In summary, these results demonstrate that companies exposed to climate risk can affect the creditworthiness of their issued loans and bonds. Therefore, financial regulatory institution and policy-makers should carefully consider the impact of climate change risks on stability of banks and financial market when formulating regulations and conducting oversight.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻回顧 5
第一節 氣候與金融風險 5
第二節 差異中差異法(DID) 7
第三章 研究方法 9
第一節 建立假說 9
第二節 研究方法 10
第三節 資料來源 13
第四節 變數定義與模型 14
第四章 實證結果 18
第一節 樣本分析 18
第二節 多元回歸分析時政結果23
第五章 結論與建議 31
第一節 結論 31
第二節 建議與限制 32
參考文獻 33		zh_TW
dc.format.extent 1455920 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352016en_US
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) 違約距離zh_TW
dc.subject (關鍵詞) 碳排放zh_TW
dc.subject (關鍵詞) 巴黎氣候協定zh_TW
dc.subject (關鍵詞) 氣候政策監管zh_TW
dc.subject (關鍵詞) Climate Changeen_US
dc.subject (關鍵詞) Credit Risken_US
dc.subject (關鍵詞) Paris Agreementen_US
dc.subject (關鍵詞) Distance to Defaulten_US
dc.subject (關鍵詞) Carbin Footprinten_US
dc.title (題名) 探討碳排放對企業信用違約距離之變動zh_TW
dc.title (題名) How Carbon Emission Affects Changes In Firm’s Credit Default Distanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文參考文獻
詹場、黃照鈜、邱建嘉、柯文乾(2021)。強制出具企業社會責任報告書對流動 性及風險之影響。會計評論，第 72 期，35-82。
英文參考文獻
Battiston, S., Mandel, A., Monasterolo, I., Schütze, F., Visentin, G. (2017). A climate stresstest of the financial system. Nature Climate Change, 7 (4): 283-288.
Bauer, R., Hann, D. (2010). Corporate environmental management and credit risk. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1660470.
Becker, M.G., Martin, F., Walter, A. (2022). The power of ESG transparency: The effect of the new SFDR sustainability labels on mutual funds and individual investors. Finance Research Letters, 47(B).
Bento, N., Borello, M., Gianfrate, G. (2020). Market-pull policies to promote renew- able energy: a quantitative assessment of tendering implementation. Journal of Cleaner Produtcion 248, 119209 https://doi.org/10.1016/j.jclepro.2019.119209. ISSN 0959- 6526.
Bento, N., Gianfrate, G. (2020). Determinants of internal carbon pricing. Energy Policy 143C, 111499. https://doi.org/10.2139/ssrn.1660470.
Bharath, S.T., Shumway, T. (2008). Forecasting default with the Merton distance to default model. The Review of Financial Studies, Vol.21 (3), 1339-1369.
Brockman, O., Turtle, H.J. (2003). A barrier option framework for corporate security valuation. Journal of Financial Economics, Vol.67 (3), 511-529.
Breeden, S. (2019). Avoiding the storm: Climate change and the financial system. https://www.bankofengland.co.uk
Busch, T., Johnson, M., Pioch, T., Kopp, M. (2018). Consistency of Corporate Carbon Emission Data. University of Hamburg/WWF Deutschland, Hamburg.
Card and Krueger (1994). Comment on David Neumark and William Wascher, “Employment Effects of Minimum and Subminimum Wages: Panel Data on State Minimum Wage Laws”. Industrial and Labor Relations Review, 47(3).
Chapple, L., Clarkson, P. M., & Gold, D. L. (2013). The cost of carbon: Capital market effects of the proposed emission trading scheme (ETS). Abacus, 49(1),1–33.
Chava. (2014). Environmental externalities and cost of capital. Management Science 60 (9) https://doi.org/10.1287/mnsc.2013.1863.
Chen, Y. C., Hung, M., Wang, Y. (2018). The effect of mandatory CSR disclosure on firm profitability and social externalities: Evidence from China. Journal of Accounting and Economics, 65(1):169-190.
Chen, Z., Xie, G. (2022). ESG disclosure and financial performance: Moderating role of ESG investors. International Review of Financial Analysis. 83 https://doi.org/10.1016/j.irfa.2022.102291.
de Greiff, K., Delis, M., Ongena, S. (2018). Being Stranded on the Carbon Bubble? Climate Policy Risk and the Pricing of Bank Loans. CEPR Discussion Papers.
Gianfrate, G., Lorenzato, G. (2019). Stimulating non-bank financial institutions’ participation in green investments. In: Sachs, J., Woo, W., Yoshino, N., Taghi- zadeh-Hesary, F. (Eds.), Handbook of Green Finance. Sustainable Development. Springer, Singapore.
Gianfrate, G., Peri, M. (2019). The green advantage: exploring the convenience of issuing green bonds. Journal Cleaner Production, 219 https://doi.org/10.1016/ j.jclepro.2019.02.022.
Ginglinger, E., Quentin, M. (2019). “Climate risk and capital structure”. Universite’ paris-dauphine research paper No. 3327185. Available at: SSRN. https://ssrn. com/abstract1⁄43327185.
Hoepner, A.G.F., Nilsson, M.A. (2017). No News Is Good News: Corporate Social Re- sponsibility Ratings and Fixed Income Portfolios. Working Paper.
Ilhan, Emirhan, Sautner, Zacharias, Vilkov, Grigory, March 4, 2020. Carbon tail risk. Available at: SSRN. https://ssrn.com/abstract1⁄43204420. https://doi.org/10. 2139/ssrn.3204420.
Kleimeier, Stefanie, Viehs, Michael, January 7 (2018). Carbon disclosure, emission levels, and the cost of debt. Available at: SSRN.
https://ssrn.com/ abstract1⁄42719665. https://doi.org/10.2139/ssrn.2719665.
Krueger, P., Sautner, Z., Starks, L.T. (2019). “The Importance of Climate Risks for
Institutional Investors”, Review of Financial Studies (forthcoming).
Martins, H.C. (2022). Competition and ESG practices in emerging markets: Evidence
from a difference-in-differences model. Finance Research Letters, 46(A). Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates.
Journal of Finance, 28 (2):449-470.
Monasterolo, I., de Angelis, L. (2019). Blind to carbon risk? An analysis of stock market’s reaction to the Paris agreement. Available at: SSRN. https://ssrn.com/ abstract1⁄43298298.
Oikonomou, I., Brooks, C., Pavelin, S. (2014). The effects of corporate social perfor- mance on the cost of corporate debt and credit ratings. Financial Review 49, 49- 75.
Saka, C., Oshika, T. (2014). Disclosure effects, carbon emissions and corporate value. Sustainability Accounting, Management and Policy Journal, 5 (1):22-45.
Tudela, M., Young, G. (2005). A merton-model approach to assessing the default risk OF UK public companies”. International Journal of Theoretical and Applied Finance, 8 (6):737-761. https://doi.org/10.1142/S0219024905003256, 2005.
Zeitun, R., Tian, G., Keen, K. (2007). Default Probability for the Jordanian Companies: a Test of Cash Flow Theory. Faculty of Commerce - Papers Archive.
Zmijewski, M.E. (1984). Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research, 22:59-82.		zh_TW