Climate‐Neutrality Transition and Banks' Loan Pricing
提出量化企业气候转型风险的方法，发现该风险使欧元区大企业的平均违约概率上升0.65个百分点，贷款利差增加142个基点，且银行ESG评级和地区监管力度会影响定价差异。
Abstract In this paper, we propose a novel methodology to quantify firms' climate‐change transition risk (CCTR) and its implications for credit markets. We utilize the regulatory framework of the European Green Deal's 2050 carbon neutrality roadmap, focusing on large Eurozone firms and their banking relationships. First, we assume a decarbonization pathway aligned with carbon neutrality targets and estimate the impact of CCTR on firm asset values and default probabilities by embedding a revenue–emissions elasticity into a Merton‐style PD model. Second, we link these CCTR‐adjusted PDs to firm‐level syndicated‐loan data to measure the resulting loan‐pricing premium. We find that incorporating CCTR raises average PDs by 0.65 percentage points and lifts loan spreads by 142 bps on average. Firms that deviate from decarbonization paths face an additional interest rate premium equal to 0.3%‐2% in interest costs. We also document significant bank‐level heterogeneity since institutions with stronger E(SG) profiles charge higher premiums, and jurisdictions with stricter climate regulation amplify pricing differences. Our results demonstrate that banks must systematically embed CCTR into credit terms‐failure to do so imply persistent underpricing of transition risk.