波动性(金融)
现金流
违约风险
温室气体
经济
面板数据
违约
业务
货币经济学
信用风险
金融经济学
计量经济学
财务
生态学
生物
作者
Md. Jahangir Kabir,Saad Ur Rahman,A.F.M. Ataur Rahman,Mumtaheena Anwar
标识
DOI:10.1016/j.econmod.2021.105617
摘要
In this study, we investigate the effect of carbon emissions on firms' default risk. While existing literature exhibits the implications of emissions for firm performance and value, little is known about its impact on the default risk and underlying economic channels of the impact. Using a panel dataset of 2785 unique firms over the period 2004–2018 from 42 economies, we document a significant and negative impact of emissions on firms' distance-to-default, a reverse measure of default risk. We also provide evidence that firms’ environmental commitments and green initiatives mitigate the effect of emissions on default risk while environmental controversies exacerbate the effect. Finally, we identify the ROA and cash flow volatility as potential channels through which emissions affect the default risk. Overall results suggest that credit risk implications of firm-level emissions are worth considering in policy decisions by relevant stakeholders.
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