The cost and benefit of GHG emissions and default risk
研究了碳排放的财务成本与绿色收入强度对企业违约风险的影响，发现碳成本增加显著提高违约概率，而绿色收入强度的影响较弱。
Abstract This paper examines the relationship between the financial costs associated with carbon emissions and the intensity of green revenues relative to emissions and firm-level default risk. Contributing to the ongoing debate on emissions measurement approaches, we construct two novel intensity measures that capture the monetary value of emissions: average carbon cost (Cost/GHG) and green-revenue intensity (GR/GHG). Using global firm-level data from 2008 to 2022, we find that exposure to carbon costs is strongly associated with increased default risk, while the evidence for green-revenue intensity is more modest and does not translate into a clear reduction in market-implied default probabilities. On average, a $1,000 increase in carbon cost per tonne of emissions is associated with a 0.70 percentage point rise in the probability of default and a reduction in Distance-to-Default, and these relationships remain robust when absorbing time-varying industry cycles and country-level macro and policy conditions. The association between carbon-cost exposure and default risk is most pronounced in high transition-risk sectors and is weaker in firms with higher managerial ability and operational efficiency. Overall, the results highlight the importance of incorporating monetary valuations of transition exposures when assessing climate-related credit risk.