贷款定价中的碳风险：承诺渠道与实际影响

Carbon Risk in Loan Pricing: Commitment Channels and Real Effects Yao Dong, Martina Hengge, Fabián Valencia, and Richard Varghese WP/25/250 IMF Working Papersdescribe research inprogress by the author(s) and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarily 2025DEC IMF Working Paper Strategy, Policy, and Review Department Carbon Risk in Loan Pricing: Commitment Channels and Real EffectsPrepared by Yao Dong, Martina Hengge, Fabián Valencia, and Richard Varghese* Authorized for distribution by Eugenio Cerutti IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We study how carbon risk affects the pricing of U.S. corporate loans and how firms’ and lenders’commitments influence both loan terms and business decisions. Combining syndicated loan data with firm-levelcarbon emissions, we document a carbon risk premium: financial institutions charge higher loan risk spreads toborrowers with a higher carbon intensity. This premium varies with the environmental commitments ofborrowers and lenders. Borrowers signaling commitments—emission targets, emission disclosures, or green WORKING PAPERS Carbon Risk in Loan Pricing: Commitment Channels and Real Effects Prepared by Yao Dong, Martina Hengge, Fabián Valencia, and 1Introduction Loan risk spreads are a critical determinant of firms’ financing costs, shaping which invest-ments are pursued and how capital is allocated across the economy. While a large literaturehas examined the drivers of U.S. loan risk spreads, it has so far overlooked the role of corpo- rate carbon emissions and the environmental commitments of borrowers and lenders.1 Yet,there is little evidence on whether financial institutions lending to U.S. clients consider them We combine granular data on U.S. syndicated loans with information on borrower car-bon emissions, borrower and lender environmental commitments, and borrower balance sheetcharacteristics to address three questions. First, do financial institutions incorporate carbon Our analysis begins by documenting a carbon premium in U.S. loan pricing.Firmswith higher carbon intensity—those at the 90th percentile of carbon intensity, measured asscope 1 and 2 emissions per $1 million of revenue—face loan risk spreads that are 1-5 basis points (bps) higher. The estimated premium is economically significant and consistent withevidence from European and global lending markets (Altavilla et al., 2024; Ehlers et al., We also find that environmental commitments by both borrowers and lenders influencethe carbon premium.On the borrower side, firms with commitments—such as emissionreduction targets, voluntary carbon disclosures, or participation in green or sustainability-linked loans—pay lower loan spreads. This commitment discount, however, shrinks as carbonintensity increases.For example, an emission reduction target lowers spreads by approxi- intensive borrowers than other lenders. This finding indicates that committed lenders placegreater emphasis on carbon risk and enforce stricter pricing. We next study the real effects of borrowers’ environmental commitments. Such commit-ments may influence corporate investment and financial choices, potentially reinforced by thelower spreads associated with them. We find that borrowers with commitments undertakehigher capital expenditure and R&D spending, consistent with investments in lower-carbontechnologies. These effects, however, weaken as carbon intensity rises, echoing our results on We also examine how macroeconomic policies interact with carbon risk pricing.Con-sistent with evidence from Europe, we find that monetary policy tightening amplifies thecarbon premium, in line with the risk-taking channel of monetary policy (Altavilla et al., Finally, rolling window regressions reveal that the carbon premium is time varying.Itrose steadily until 2019, but has since declined and disappeared in the most recent 2018–23 window. Our analysis shows that this decline partly reflects expansionary pandemic-era Related Literature This paper contributes to several strands of literature. First, we add to the growing workon how financial institutions price carbon risk by providing the first comprehensive evidencefor the U.S. syndicated loan market, complementing prior findings from Europe and globalsamples (Altavilla et al., 2024; Ehlers et al., 2022; Kleimeier and Viehs, 2021). Existing stud-ies document a positive relationship between borrower emissions and loan spreads in Europe recent period.2 Carbon risk has also been studied across other financial market segments, including corporate bonds (Seltzer et al., 2025), credit default swaps (CDS) (Zhang and Zhao, 2