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題名 銀行聯貸與ESG議合：碳盤查，減碳與資訊不對稱
Syndicated Bank Loans and Interim ESG Engagement: GHG Emission Reporting and Abatement Effort under Asymmetric Information作者 陳亭伃
Chen, Ting-Yu貢獻者 何靜嫺
Ho, Shirley J.
陳亭伃
Chen, Ting-Yu關鍵詞 資訊不對稱
銀行
金融風險與風險管理
環境永續
Information Asymmetry
Banks
Financial Risk and Risk Management
Sustainable Environment日期 2024 上傳時間 5-八月-2024 13:38:31 (UTC+8) 摘要 隨著全球氣候政策日益嚴格，企業面臨更高的環境風險和合規成本，貸款成本也隨之升高。針對聯合貸款市場，特別是融合了ESG議合和資訊不對稱等因素的理論研究相對稀少。本研究探討了淨零碳排政策和ESG議合如何在考慮資訊不對稱和碳排放報告的情況下影響聯合貸款市場的決策。我們構建了兩個模型：一個作為基準模型，另一個納入ESG議合的影響。研究結果顯示，(i)在考慮ESG議合的情況下，嚴格的排放要求使公司項目努力減少，而減排努力增加。(ii)當排放率是私有資訊時，公司項目努力會隨排放率增加而降低，減排努力則會增加。(iii)更有利的貸款條件能提高公司的減排努力。(iv)銀行的續貸意願隨預期排放率增加而減少，且隨排放上限和公司報告成本增加而降低。(v)在某些回報條件下，ESG議合會降低銀行的續貸意願。此外，我們還對聯貸模型進行了詳細分析，探討了公司努力效率、貸款規模、風險承擔等因素，並研究了公司的溫室氣體排放揭露策略。這些結果為理解公司和銀行的決策提供了有價值的見解。
As global climate policies become increasingly stringent, companies face higher environmental risks and compliance costs, which in turn raise the cost of borrowing. Theoretical research on the syndicated loan market, particularly incorporating factors such as ESG engagement and information asymmetry, remains relatively scarce. This study examines how net-zero carbon policies and ESG engagement impact decision-making in the syndicated loan market under conditions of information asymmetry and carbon emissions reporting. We construct two models: a baseline model and another that incorporates the effects of ESG engagement. The results indicate that (i) under the conditions of ESG engagement, stringent emission requirements lead to decreased project effort by the firm and increased abatement effort. (ii) When the emission rate is private information, the firm's project effort decreases with an increase in the emission rate, while the abatement effort increases. (iii) More favorable loan conditions can enhance the firm's abatement efforts. (iv) Banks' willingness to continue the loan decreases with the expected emission rate and further decreases with higher emission limits and reporting costs. (v) Under certain return conditions, ESG engagement reduce banks' willingness to continue lending. Additionally, we conduct a detailed analysis of the syndicated loan model, exploring factors such as firm effort efficiency, loan size, and risk-bearing, as well as the company's greenhouse gas emission disclosure strategies. These findings provide valuable insights into the decision-making processes of companies and banks.參考文獻 Attig, N., Rahaman, M. M., & Trabelsi, S. (2021). Greenwashing and bank loan contracting: does environmental disclosure quality matter to creditors?. Available at SSRN 3880113. Berg, F., Oliver Huidobro, J., & Rigobon, R. (2024). On the Importance of Assurance in Carbon Accounting. Roberto, On the Importance of Assurance in Carbon Accounting (February 21, 2024). Bosch, O. (2006, December). Information Asymmetry and the Pricing of Private Debt-Evidence from European Syndicated Loans. In EFA 2007 Ljubljana Meetings Paper. Brei, M., & Schclarek, A. (2015). A theoretical model of bank lending: Does ownership matter in times of crisis?. Journal of Banking & Finance, 50, 298-307. Carbone, S., Giuzio, M., Kapadia, S., Kramer, J. S., Nyholm, K., & Vozian, K. (2021). The low-carbon transition, climate commitments and firm credit risk. D'Arcangelo, F. M., Kruse, T., Pisu, M., & Tomasi, M. (2023). Corporate cost of debt in the low-carbon transition: The effect of climate policies on firm financing and investment through the banking channel. Available at SSRN 4691593. Degryse, H., Goncharenko, R., Theunisz, C., & Vadasz, T. (2023). When green meets green. Journal of Corporate Finance, 78, 102355. Ehlers, T., Packer, F., & De Greiff, K. (2022). The pricing of carbon risk in syndicated loans: Which risks are priced and why?. Journal of Banking & Finance, 136, 106180. Epstein, L. and S Zin, 1989b, Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis, Working paper (University of Toronto, Toronto, Ont.). Grewal, J., Richardson, G. D., & Wang, J. (2022). Effects of Mandatory Carbon Reporting on Unrepresentative Environmental Disclosures. Available at SSRN 4166184. Gustafson, M. T., Ivanov, I. T., & Meisenzahl, R. R. (2021). Bank monitoring: Evidence from syndicated loans. Journal of Financial Economics, 139(2), 452-477. Ho, K., & Wong, A. (2021). Effect of climate-related risk on the pricing of bank loans: Evidence from syndicated loan markets in Asia Pacific. HKIMR Working paper. Holmstrom, B. (1979). Moral hazard and observability. The Bell journal of economics, 74-91. Holmstrom, B., & Tirole, J. (1997). Financial intermediation, loanable funds, and the real sector. the Quarterly Journal of economics, 112(3), 663-691. Ivanov, I. T., Kruttli, M. S., & Watugala, S. W. (2024). Banking on carbon: Corporate lending and cap-and-trade policy. The Review of Financial Studies, 37(5), 1640-1684. Kabir, M. N., Rahman, S., Rahman, M. A., & Anwar, M. (2021). Carbon emissions and default risk: International evidence from firm-level data. Economic Modelling, 103, 105617. Kacperczyk, M. T., & Peydro J. L. (2022). Carbon emissions and the bank-lending channel. Available at SSRN 3915486. Kleimeier, S. & Viehs, P.M., 2016. "Carbon disclosure, emission levels, and the cost of debt," Research Memorandum 003, Maastricht University, Graduate School of Business and Economics (GSBE). Kreps, D. M., & Porteus, E. L. (1978). Temporal resolution of uncertainty and dynamic choice theory. Econometrica: journal of the Econometric Society, 185-200. Kreps, D. M., & Porteus, E. L. (1979). Dynamic choice theory and dynamic programming. Econometrica: Journal of the Econometric Society, 91-100. Li, Y., Saunders, A., & Shao, P. (2015). The monitoring incentive of transactional and relationship lenders: Evidence from the syndicated loan market. Journal of Money, Credit and Banking, 47(4), 701-735. Mondria, J. (2010). Portfolio choice, attention allocation, and price comovement. Journal of Economic Theory, 145(5), 1837-1864. Palea, V., & Drogo, F. (2020). Carbon Emissions and the Cost of Debt Financing: What Role for Policy Commitment, Firm Disclosure and Corporate Governance?. Universita degli studi di Torino, Department of Economics and Statistics "Cognetti de Martiis". Panagiotopoulou, V. C., Stavropoulos, P., & Chryssolouris, G. (2021). A critical review on the environmental impact of manufacturing: a holistic perspective. The International Journal of Advanced Manufacturing Technology, 1-23. Peress, J. (2010). Product market competition, insider trading, and stock market efficiency. The Journal of Finance, 65(1), 1-43. Roberts, Michael R., 2015, The role of dynamic renegotiation and asymmetric information in financial contracting, Journal of Financial Economics 116, 61--81. Roberts, M. and Sufi, A., 2009. Renegotiation of financial contracts: evidence from private credit agreements. Journal of Financial Economics 93, 159--184. Sufi, A. (2007). Information asymmetry and financing arrangements: Evidence from syndicated loans. The Journal of Finance, 62(2), 629-668. Van Nieuwerburgh, S., & Veldkamp, L. (2010). Information acquisition and under-diversification. The Review of Economic Studies, 77(2), 779-805. Weil, P. (1990). Nonexpected utility in macroeconomics. The Quarterly Journal of Economics, 105(1), 29-42. Xu, P., Ye, P., Jahanger, A., Huang, S., & Zhao, F. (2023). Can green credit policy reduce corporate carbon emission intensity: Evidence from China's listed firms. Corporate Social Responsibility and Environmental Management, 30(5), 2623-2638. Zimper, A., & Molefinyane, M. (2021). Bargaining over loan contracts with signaling. Journal of Public Economic Theory, 23(5), 958-984. 描述 碩士
國立政治大學
經濟學系
111258039資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111258039 資料類型 thesis dc.contributor.advisor 何靜嫺 zh_TW dc.contributor.advisor Ho, Shirley J. en_US dc.contributor.author (作者) 陳亭伃 zh_TW dc.contributor.author (作者) Chen, Ting-Yu en_US dc.creator (作者) 陳亭伃 zh_TW dc.creator (作者) Chen, Ting-Yu en_US dc.date (日期) 2024 en_US dc.date.accessioned 5-八月-2024 13:38:31 (UTC+8) - dc.date.available 5-八月-2024 13:38:31 (UTC+8) - dc.date.issued (上傳時間) 5-八月-2024 13:38:31 (UTC+8) - dc.identifier (其他 識別碼) G0111258039 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152709 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 111258039 zh_TW dc.description.abstract (摘要) 隨著全球氣候政策日益嚴格，企業面臨更高的環境風險和合規成本，貸款成本也隨之升高。針對聯合貸款市場，特別是融合了ESG議合和資訊不對稱等因素的理論研究相對稀少。本研究探討了淨零碳排政策和ESG議合如何在考慮資訊不對稱和碳排放報告的情況下影響聯合貸款市場的決策。我們構建了兩個模型：一個作為基準模型，另一個納入ESG議合的影響。研究結果顯示，(i)在考慮ESG議合的情況下，嚴格的排放要求使公司項目努力減少，而減排努力增加。(ii)當排放率是私有資訊時，公司項目努力會隨排放率增加而降低，減排努力則會增加。(iii)更有利的貸款條件能提高公司的減排努力。(iv)銀行的續貸意願隨預期排放率增加而減少，且隨排放上限和公司報告成本增加而降低。(v)在某些回報條件下，ESG議合會降低銀行的續貸意願。此外，我們還對聯貸模型進行了詳細分析，探討了公司努力效率、貸款規模、風險承擔等因素，並研究了公司的溫室氣體排放揭露策略。這些結果為理解公司和銀行的決策提供了有價值的見解。 zh_TW dc.description.abstract (摘要) As global climate policies become increasingly stringent, companies face higher environmental risks and compliance costs, which in turn raise the cost of borrowing. Theoretical research on the syndicated loan market, particularly incorporating factors such as ESG engagement and information asymmetry, remains relatively scarce. This study examines how net-zero carbon policies and ESG engagement impact decision-making in the syndicated loan market under conditions of information asymmetry and carbon emissions reporting. We construct two models: a baseline model and another that incorporates the effects of ESG engagement. The results indicate that (i) under the conditions of ESG engagement, stringent emission requirements lead to decreased project effort by the firm and increased abatement effort. (ii) When the emission rate is private information, the firm's project effort decreases with an increase in the emission rate, while the abatement effort increases. (iii) More favorable loan conditions can enhance the firm's abatement efforts. (iv) Banks' willingness to continue the loan decreases with the expected emission rate and further decreases with higher emission limits and reporting costs. (v) Under certain return conditions, ESG engagement reduce banks' willingness to continue lending. Additionally, we conduct a detailed analysis of the syndicated loan model, exploring factors such as firm effort efficiency, loan size, and risk-bearing, as well as the company's greenhouse gas emission disclosure strategies. These findings provide valuable insights into the decision-making processes of companies and banks. en_US dc.description.tableofcontents List of Figures v 1. Introduction 1 2. Related Literature 4 2.1 Syndicated Loan: Asymmetric Information and Moral Hazard 5 2.2 Green Credit Policies and Emission 6 2.3 Emission and Loan Terms 7 2.4 The Disclosure of Emission Information 9 3. Supporting Evidence 10 3.1 The Role of Financial Institutions in Carbon Reduction Efforts 10 3.2 Impact of Climate Policy Stringency on Borrowing Costs in the Syndicated Loan Market 12 4. A Syndicated Loan Model without ESG Engagement 15 4.1 The Sequence of Actions 18 4.1.1 Banks' Loan Decisions 19 4.1.2 Firm's Effort Decisions 21 4.2 Characterization of Equilibrium 22 5. A Syndicated Loan Model with ESG Engagement 28 5.1 The Sequence of Actions 29 5.1.1 Emission Reporting at the end of t=1 31 5.1.2 Banks' Loan Decisions 34 5.1.3 Firm's Effort Decisions 35 5.2 Characterization of Equilibrium 35 5.2.1 Firm's Effort Decisions at t=2 35 5.2.2 Banks' Continuation Decisions at t=2 39 5.2.3 Firm's Pollution Reporting 41 6. Conclusion 45 References 48 zh_TW dc.format.extent 1598210 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111258039 en_US dc.subject (關鍵詞) 資訊不對稱 zh_TW dc.subject (關鍵詞) 銀行 zh_TW dc.subject (關鍵詞) 金融風險與風險管理 zh_TW dc.subject (關鍵詞) 環境永續 zh_TW dc.subject (關鍵詞) Information Asymmetry en_US dc.subject (關鍵詞) Banks en_US dc.subject (關鍵詞) Financial Risk and Risk Management en_US dc.subject (關鍵詞) Sustainable Environment en_US dc.title (題名) 銀行聯貸與ESG議合：碳盤查，減碳與資訊不對稱 zh_TW dc.title (題名) Syndicated Bank Loans and Interim ESG Engagement: GHG Emission Reporting and Abatement Effort under Asymmetric Information en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Attig, N., Rahaman, M. M., & Trabelsi, S. (2021). Greenwashing and bank loan contracting: does environmental disclosure quality matter to creditors?. Available at SSRN 3880113. Berg, F., Oliver Huidobro, J., & Rigobon, R. (2024). On the Importance of Assurance in Carbon Accounting. Roberto, On the Importance of Assurance in Carbon Accounting (February 21, 2024). Bosch, O. (2006, December). Information Asymmetry and the Pricing of Private Debt-Evidence from European Syndicated Loans. In EFA 2007 Ljubljana Meetings Paper. Brei, M., & Schclarek, A. (2015). A theoretical model of bank lending: Does ownership matter in times of crisis?. Journal of Banking & Finance, 50, 298-307. Carbone, S., Giuzio, M., Kapadia, S., Kramer, J. S., Nyholm, K., & Vozian, K. (2021). The low-carbon transition, climate commitments and firm credit risk. D'Arcangelo, F. M., Kruse, T., Pisu, M., & Tomasi, M. (2023). Corporate cost of debt in the low-carbon transition: The effect of climate policies on firm financing and investment through the banking channel. Available at SSRN 4691593. Degryse, H., Goncharenko, R., Theunisz, C., & Vadasz, T. (2023). When green meets green. Journal of Corporate Finance, 78, 102355. Ehlers, T., Packer, F., & De Greiff, K. (2022). The pricing of carbon risk in syndicated loans: Which risks are priced and why?. Journal of Banking & Finance, 136, 106180. Epstein, L. and S Zin, 1989b, Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis, Working paper (University of Toronto, Toronto, Ont.). Grewal, J., Richardson, G. D., & Wang, J. (2022). Effects of Mandatory Carbon Reporting on Unrepresentative Environmental Disclosures. Available at SSRN 4166184. Gustafson, M. T., Ivanov, I. T., & Meisenzahl, R. R. (2021). Bank monitoring: Evidence from syndicated loans. Journal of Financial Economics, 139(2), 452-477. Ho, K., & Wong, A. (2021). Effect of climate-related risk on the pricing of bank loans: Evidence from syndicated loan markets in Asia Pacific. HKIMR Working paper. Holmstrom, B. (1979). Moral hazard and observability. The Bell journal of economics, 74-91. Holmstrom, B., & Tirole, J. (1997). Financial intermediation, loanable funds, and the real sector. the Quarterly Journal of economics, 112(3), 663-691. Ivanov, I. T., Kruttli, M. S., & Watugala, S. W. (2024). Banking on carbon: Corporate lending and cap-and-trade policy. The Review of Financial Studies, 37(5), 1640-1684. Kabir, M. N., Rahman, S., Rahman, M. A., & Anwar, M. (2021). Carbon emissions and default risk: International evidence from firm-level data. Economic Modelling, 103, 105617. Kacperczyk, M. T., & Peydro J. L. (2022). Carbon emissions and the bank-lending channel. Available at SSRN 3915486. Kleimeier, S. & Viehs, P.M., 2016. "Carbon disclosure, emission levels, and the cost of debt," Research Memorandum 003, Maastricht University, Graduate School of Business and Economics (GSBE). Kreps, D. M., & Porteus, E. L. (1978). Temporal resolution of uncertainty and dynamic choice theory. Econometrica: journal of the Econometric Society, 185-200. Kreps, D. M., & Porteus, E. L. (1979). Dynamic choice theory and dynamic programming. Econometrica: Journal of the Econometric Society, 91-100. Li, Y., Saunders, A., & Shao, P. (2015). The monitoring incentive of transactional and relationship lenders: Evidence from the syndicated loan market. Journal of Money, Credit and Banking, 47(4), 701-735. Mondria, J. (2010). Portfolio choice, attention allocation, and price comovement. Journal of Economic Theory, 145(5), 1837-1864. Palea, V., & Drogo, F. (2020). Carbon Emissions and the Cost of Debt Financing: What Role for Policy Commitment, Firm Disclosure and Corporate Governance?. Universita degli studi di Torino, Department of Economics and Statistics "Cognetti de Martiis". Panagiotopoulou, V. C., Stavropoulos, P., & Chryssolouris, G. (2021). A critical review on the environmental impact of manufacturing: a holistic perspective. The International Journal of Advanced Manufacturing Technology, 1-23. Peress, J. (2010). Product market competition, insider trading, and stock market efficiency. The Journal of Finance, 65(1), 1-43. Roberts, Michael R., 2015, The role of dynamic renegotiation and asymmetric information in financial contracting, Journal of Financial Economics 116, 61--81. Roberts, M. and Sufi, A., 2009. Renegotiation of financial contracts: evidence from private credit agreements. Journal of Financial Economics 93, 159--184. Sufi, A. (2007). Information asymmetry and financing arrangements: Evidence from syndicated loans. The Journal of Finance, 62(2), 629-668. Van Nieuwerburgh, S., & Veldkamp, L. (2010). Information acquisition and under-diversification. The Review of Economic Studies, 77(2), 779-805. Weil, P. (1990). Nonexpected utility in macroeconomics. The Quarterly Journal of Economics, 105(1), 29-42. Xu, P., Ye, P., Jahanger, A., Huang, S., & Zhao, F. (2023). Can green credit policy reduce corporate carbon emission intensity: Evidence from China's listed firms. Corporate Social Responsibility and Environmental Management, 30(5), 2623-2638. Zimper, A., & Molefinyane, M. (2021). Bargaining over loan contracts with signaling. Journal of Public Economic Theory, 23(5), 958-984. zh_TW
