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題名 碳風險定價與企業融資成本：以美國聯貸市場為例
Carbon Risk and the Cost of Debt Financing: Evidence from the U.S. Syndicated Loan Market
作者 陳承鍇
Chen, Cheng-Kai
貢獻者 湛可南
Chan, Ko-Nan
陳承鍇
Chen, Cheng-Kai
關鍵詞 氣候風險
碳溢酬
融資成本
銀行聯貸
環境政策
Climate risk
Carbon premium
Cost of debt financing
Syndicated loans
Environmental policy
日期 2025
上傳時間 1-Jul-2025 14:52:13 (UTC+8)
摘要 本研究探討企業層級的碳強度是否影響美國聯合貸款的定價。透過結合銀行聯貸合約資料與企業碳排放數據，實證結果顯示高碳強度企業需承擔較高的貸款利差，顯示氣候轉型風險已部分體現在債務融資成本中。進一步分析發現，碳強度對貸款成本的影響主要出現在借款企業屬於碳密集產業的合約中，反映出此類貸款結構對氣候風險較為敏感。為解決內生性問題，本研究採用雙重差分法，並以2016年美國總統大選作為外生政策衝擊。結果顯示，川普當選後高碳排企業的貸款利差顯著下降，顯示市場對於環境監管趨緩的預期已反映在貸款條件中。本研究揭示氣候政策預期如何影響企業的融資成本，並為銀行進行ESG風險評估與制定監理政策提供重要參考。
This study examines whether firm-level carbon intensity affects the pricing of syndicated loans in the U.S. market. By combining loan-level pricing data and corporate carbon emissions data, the analysis shows that firms with higher carbon intensity tend to incur higher borrowing costs, suggesting that carbon transition risk is partially priced in bank lending. However, this relationship is statistically significant only in carbon-intensive industries, which tend to be more sensitive to future uncertainty. To address endogeneity concerns, the study adopts a difference-in-differences (DiD) framework, leveraging the 2016 U.S. presidential election as an exogenous shift in regulatory expectations. The findings indicate that loan spreads for high-emission firms declined significantly following Trump’s victory, consistent with a perceived easing of climate-related regulatory pressure. These results underscore the role of policy expectations in shaping credit market outcomes and offer important implications for ESG risk pricing and financial regulation.
參考文獻 Aslan, Hadiye, and Praveen Kumar, (2012). Strategic Ownership Structure and the Cost of Debt, Review of Financial Studies 25, 2257–2310. Bolton, Patrick, and Marcin Kacperczyk, (2021). Do investors care about carbon risk? Journal of Financial Economics 142, 517–549. Bolton, Patrick, and Marcin Kacperczyk, (2023). Global Pricing of Carbon-Transition Risk, Journal of Finance 78, 3677–3754. Busch, Timo, Matthew Johnson, and Thomas Pioch, (2022). Corporate Carbon Performance Data: Quo Vadis? Journal of Industrial Ecology 26, 350–363. Duan, Tinghua, Frank Weikai Li, and Quan Wen, (2025). Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? Journal of Financial and Quantitative Analysis 60, 1–35. Ehlers, Torsten, Frank Packer, and Kathrin de Greiff, (2022). The pricing of carbon risk in syndicated loans: Which risks are priced and why? Journal of Banking and Finance 136, 106180. Gillan, Stuart L., Andrew Koch, and Laura T. Starks, (2021). Firms and social responsibility: A review of ESG and CSR research in corporate finance, Journal of Corporate Finance 66, 101889. Goss, Allen, and Gordon S. Roberts, (2011). The Impact of Corporate Social Responsibility on the Cost of Bank Loans, Journal of Banking & Finance 35, 1794–1810. IPCC, (2021). Climate Change 2021: The Physical Science Basis, Working Group I Contribution to the IPCC Sixth Assessment Report Krueger, Philipp, Zacharias Sautner, and Laura T. Starks, (2020). The Importance of Climate Risks for Institutional Investors, Review of Financial Studies 33, 1067–1111. Mukanjari, Samson, and Thomas Sterner, (2018). Do Markets Trump Politics? Evidence from Fossil Market Reactions to the Paris Agreement and the U.S. Election, Working Paper in Economics No. 728, University of Gothenburg. Nguyen, Justin Hung, and Hieu V. Phan, (2020). Carbon risk and corporate capital structure, Journal of Corporate Finance 64, 101713. Seltzer, Lee, Laura T. Starks, and Qifei Zhu, (2022). Climate Regulatory Risks and Corporate Bonds, Nanyang Business School research paper no. 20-05. Valta, Philip, (2012). Competition and the Cost of Debt, Journal of Financial Economics 105, 661–682. Zhang, Shaojun, (2025). Carbon Returns across the Globe, Journal of Finance 80, 615–656.
描述 碩士
國立政治大學
財務管理學系
112357031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357031
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.advisor Chan, Ko-Nanen_US
dc.contributor.author (Authors) 陳承鍇zh_TW
dc.contributor.author (Authors) Chen, Cheng-Kaien_US
dc.creator (作者) 陳承鍇zh_TW
dc.creator (作者) Chen, Cheng-Kaien_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:52:13 (UTC+8)-
dc.date.available 1-Jul-2025 14:52:13 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:52:13 (UTC+8)-
dc.identifier (Other Identifiers) G0112357031en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157783-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 112357031zh_TW
dc.description.abstract (摘要) 本研究探討企業層級的碳強度是否影響美國聯合貸款的定價。透過結合銀行聯貸合約資料與企業碳排放數據，實證結果顯示高碳強度企業需承擔較高的貸款利差，顯示氣候轉型風險已部分體現在債務融資成本中。進一步分析發現，碳強度對貸款成本的影響主要出現在借款企業屬於碳密集產業的合約中，反映出此類貸款結構對氣候風險較為敏感。為解決內生性問題，本研究採用雙重差分法，並以2016年美國總統大選作為外生政策衝擊。結果顯示，川普當選後高碳排企業的貸款利差顯著下降，顯示市場對於環境監管趨緩的預期已反映在貸款條件中。本研究揭示氣候政策預期如何影響企業的融資成本，並為銀行進行ESG風險評估與制定監理政策提供重要參考。zh_TW
dc.description.abstract (摘要) This study examines whether firm-level carbon intensity affects the pricing of syndicated loans in the U.S. market. By combining loan-level pricing data and corporate carbon emissions data, the analysis shows that firms with higher carbon intensity tend to incur higher borrowing costs, suggesting that carbon transition risk is partially priced in bank lending. However, this relationship is statistically significant only in carbon-intensive industries, which tend to be more sensitive to future uncertainty. To address endogeneity concerns, the study adopts a difference-in-differences (DiD) framework, leveraging the 2016 U.S. presidential election as an exogenous shift in regulatory expectations. The findings indicate that loan spreads for high-emission firms declined significantly following Trump’s victory, consistent with a perceived easing of climate-related regulatory pressure. These results underscore the role of policy expectations in shaping credit market outcomes and offer important implications for ESG risk pricing and financial regulation.en_US
dc.description.tableofcontents 1. Introduction 6 2. Literature Review and Hypothesis Development 9 3. Data and Methodology 11 3.1. Cost of Debt Financing 11 3.2. Carbon Risk Measurement 12 3.3. Control Variables 13 3.4. Sample Selection 13 3.5. Summary Statistics 14 3.6. Correlation Matrix 15 3.7. Empirical Strategy 16 4. Empirical Results 17 4.1. Baseline Analysis 17 4.2. Cross Sectional Difference 18 4.3. Endogeneity Issue 19 4.4. Robustness Check 20 5. Conclusion 21 References 23 Appendix 25zh_TW
dc.format.extent 894737 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357031en_US
dc.subject (關鍵詞) 氣候風險zh_TW
dc.subject (關鍵詞) 碳溢酬zh_TW
dc.subject (關鍵詞) 融資成本zh_TW
dc.subject (關鍵詞) 銀行聯貸zh_TW
dc.subject (關鍵詞) 環境政策zh_TW
dc.subject (關鍵詞) Climate risken_US
dc.subject (關鍵詞) Carbon premiumen_US
dc.subject (關鍵詞) Cost of debt financingen_US
dc.subject (關鍵詞) Syndicated loansen_US
dc.subject (關鍵詞) Environmental policyen_US
dc.title (題名) 碳風險定價與企業融資成本：以美國聯貸市場為例zh_TW
dc.title (題名) Carbon Risk and the Cost of Debt Financing: Evidence from the U.S. Syndicated Loan Marketen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aslan, Hadiye, and Praveen Kumar, (2012). Strategic Ownership Structure and the Cost of Debt, Review of Financial Studies 25, 2257–2310. Bolton, Patrick, and Marcin Kacperczyk, (2021). Do investors care about carbon risk? Journal of Financial Economics 142, 517–549. Bolton, Patrick, and Marcin Kacperczyk, (2023). Global Pricing of Carbon-Transition Risk, Journal of Finance 78, 3677–3754. Busch, Timo, Matthew Johnson, and Thomas Pioch, (2022). Corporate Carbon Performance Data: Quo Vadis? Journal of Industrial Ecology 26, 350–363. Duan, Tinghua, Frank Weikai Li, and Quan Wen, (2025). Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns? Journal of Financial and Quantitative Analysis 60, 1–35. Ehlers, Torsten, Frank Packer, and Kathrin de Greiff, (2022). The pricing of carbon risk in syndicated loans: Which risks are priced and why? Journal of Banking and Finance 136, 106180. Gillan, Stuart L., Andrew Koch, and Laura T. Starks, (2021). Firms and social responsibility: A review of ESG and CSR research in corporate finance, Journal of Corporate Finance 66, 101889. Goss, Allen, and Gordon S. Roberts, (2011). The Impact of Corporate Social Responsibility on the Cost of Bank Loans, Journal of Banking & Finance 35, 1794–1810. IPCC, (2021). Climate Change 2021: The Physical Science Basis, Working Group I Contribution to the IPCC Sixth Assessment Report Krueger, Philipp, Zacharias Sautner, and Laura T. Starks, (2020). The Importance of Climate Risks for Institutional Investors, Review of Financial Studies 33, 1067–1111. Mukanjari, Samson, and Thomas Sterner, (2018). Do Markets Trump Politics? Evidence from Fossil Market Reactions to the Paris Agreement and the U.S. Election, Working Paper in Economics No. 728, University of Gothenburg. Nguyen, Justin Hung, and Hieu V. Phan, (2020). Carbon risk and corporate capital structure, Journal of Corporate Finance 64, 101713. Seltzer, Lee, Laura T. Starks, and Qifei Zhu, (2022). Climate Regulatory Risks and Corporate Bonds, Nanyang Business School research paper no. 20-05. Valta, Philip, (2012). Competition and the Cost of Debt, Journal of Financial Economics 105, 661–682. Zhang, Shaojun, (2025). Carbon Returns across the Globe, Journal of Finance 80, 615–656.zh_TW