碳达峰情景下碳价对高耗能行业违约风险影响研究——基于高碳省份微观财务数据的视角

Study on the Impact of Carbon Price on the Default Risk of Energy-Intensive Industries in Peak Carbon Emission Scenario

以356家高耗能工业企业的财务报表和金融数据为基础,构建六方面18项指标,利用随机森林方法生成财务违约模型;综合考虑技术进步、能源结构和产业机构等因素,以2030年重点行业规划的产量和排放数据为基础测算不同碳价冲击对企业财务指标的影响,利用训练的违约模型测算企业信用风险变迁情况。研究发现,碳价冲击显著影响企业潜在违约率,作为高碳省份的宁夏六大高碳行业潜在违约率由当前的9.39%显著上升至20.57%以上,不同行业之间也存在较大差异。结合研究结论,本文提出,实现绿色低碳发展,需要把发展绿色能源放在基础低位,各地要立足比较优势在发展和减排中取得平衡,加强激励性顶层制度设计,同时强化金融机构气候信息披露和风险评估。

Based on the financial statements and financial data of 356 industrial enterprises,this paper constructs 18 indicators from six aspects and uses random forest method to generate financial default model.Based on the planned output and emission data of key industries in 2030,the impacts of different carbon price shocks on corporate financial indicators are calculated,the changes of corporate credit risks are measured using trained default models.The study found that with the increase of carbon price,the potential default ratio of non-defaulting enterprises increased significantly from 9.65% to 19.94%.There was also a big difference among different industries.Combined with the research conclusions,this paper proposes that green and low-carbon development is based on the development of green energy.The governments should balance development and emission reduction,strengthen climate information disclosure and risk assessment of financial institutions.