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| Title: | 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 |
| Authors: | 許家晟
Hsu, Chia-Chen |
| Contributors: | 江彌修
Chiang, Mi-Hsiu
許家晟
Hsu, Chia-Chen |
| Keywords: | 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 |
| Date: | 2023 |
| Issue Date: | 2023-07-06 16:46:59 (UTC+8) |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
金融學系
110352016 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110352016 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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