Climate change exposure, financial development, and the cost of debt: Evidence from EU countries
利用电话会议记录中的气候相关叙述衡量企业气候风险暴露，发现暴露程度越高的企业债务成本越高，且该效应在金融发展水平低的国家、碳强度高、环境披露多或财务受限的企业中更显著。
Utilising climate-related narratives in conference call transcripts to measure firm-level exposure to climate risks, we examine the association between such exposure and the corporate cost of debt financing. Using a sample of 21 European countries from 2001 to 2020, we find that firms exposed to greater climate change experience higher debt costs. The impact is even more extreme when using climate-related opportunity and regulatory exposure measures. We further find critical economic channels through which the higher debt costs occur: financial development and credit supplies. Specifically, our findings hold only for firms in weakly developed financial markets and institutions as measured by the new broad-based multi-dimensional financial development indices. We also find some other conditioning factors. Firstly, the higher the carbon intensity level, the greater the debt cost a firm with more climate change exposure must pay. Secondly, debtholders appear to punish firms with high environmental and social disclosure that are exposed to more climate change. Thirdly, the findings are more pronounced in financially constrained firms.