IMF-信用风险到期：碳定价和公司违约（英）

Credit Risk Where It’s Due: Carbon Pricing and Firm Defaults Stefan Löschenbrand, Martin Maier, Laurent Millischer, and Florian Resch WP/25/62 IMF Staff Discussion Notes (SDNs) showcase policy-related analysis and research being developed by IMF staff members and are published to elicit comments and to encourage debate. The views expressed in Staff Discussion Notes are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 MAR ©2025 International Monetary Fund WP/25/62IMF Working Paper Institute for Capacity Development Credit Risk Where It’s Due: Carbon Pricing and Firm Defaults Prepared by Stefan Löschenbrand, Martin Maier, Laurent Millischer, and Florian Resch Authorized for distribution by Selim Elekdag March 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: This study investigates carbon pricing-induced credit risk, the potential negative impact of carbon pricing on firms’ ability to meet their financial obligations. Applying a well-established credit assessment model to a novel data set combining financial statements and emissions data, we subject the over 2.5 million borrowers of the euro area’s largest banking groups to two carbon pricing stress scenarios. Our findings reveal a notable variation in impacts between and within sectors. However, even under the conservative scenario, many firms experience only a minimal increase in their probabilities of default. In the more realistic scenario, the aggregate impact on firms’ creditworthiness is not material. The analysis further suggests that the capitalization of euro area banks would not be significantly affected by the carbon pricing-induced increase in corporate credit risk. While this study does not consider the macroeconomic transmission channels, it indicates that higher carbon prices are not likely to trigger widespread firm defaults and jeopardize financial stability. RECOMMENDED CITATION: Löschenbrand, S., Maier, M., Millischer, L. and Resch, F. (2025). Credit Risk Where It’s Due: Carbon Pricing and Firm Defaults IMF Working Paper WP/25/62.JEL Classification Numbers: G32, Q54, Q58 Keywords: Credit Risk, Climate Change, Transition Risk, Carbon Pricing Author’s email addresses: stefan.loeschenbrand@oenb.at, martin.maier@oenb.at, lmillischer@jvi.org, florian.resch@oenb.at WORKING PAPERS Credit Risk Where It’s Due: Carbon Pricing and Firm Defaults Prepared by Stefan Löschenbrand, Martin Maier, Laurent Millischer, and Florian Resch IMF WORKING PAPERSCredit Risk Where It’s Due: Carbon Pricing and Firm DefaultsContents1Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .32Methods. . . . . . . . . . . . . . . . . . . . . . .