碳价格如何影响企业绿色投资与信用风险--基于预期收益与违约成本的权衡分析

How Does Carbon Price Affect Green Investment and Credit Risk:A Trade-off Analysis Based on Expected Return and Default Cost

“双碳”目标下企业的绿色投资及风险管理策略受预期碳价格变动的影响,且绿色投资最优规模需要企业权衡投资不足的机会成本和绿色债务无法偿还的违约成本。考虑外部融资风险和随机流动性冲击,本文建立一个理论模型,量化研究碳价格对企业绿色投资规模和绿色债券信用利差的影响及其机制。碳资产可被质押使得碳价格在直接影响违约边界的同时,通过影响绿色投资规模间接影响企业的违约边界,且由于碳价格对违约概率和违约成本的非对称影响,碳价格对信用风险的直接影响大于间接影响。理论与实证结果表明:碳价格的提高能降低绿色投资企业的信用风险,降低绿色债券信用利差;存在碳价格的高、低双重门槛决定企业的最优绿色投资决策,当碳价格低于影子价格时,随着碳价格提高,最优绿色投资规模增加,而当碳价格处于显著大于影子价格的较高水平时,碳价格的提高反而降低最优绿色投资规模。此外,当碳价格大于(小于)高(低)门槛值时,企业绿色债券信用利差随着绿色投资规模的增加而增加(减少)。本文有助于深入理解碳定价机制对企业绿色投资决策和绿色债券定价的作用机理,为进一步完善碳市场建设与绿色投融资政策提供了重要启示。

Since carbon price is a significant signal to incentivize firms'emission reduction and green investment with the establishment of a national carbon market in China,the policies of green investment and risk management of firms under the“dual carbon”goal are affected by the expected carbon price changes.Therefore,this paper proposes a two-stage theoretical model with the carbon price to quantitatively study the mechanism of the impact of carbon price on optimal green investment and the credit spread of green bonds.The entrepreneurs face the trade-off between the opportunity cost of underinvestment and the default cost of green debt not being repaid.Under this trade-off,the optimal investment and cash holdings of firms are endogenously determined by factors that affect the credit risk of firms,including carbon prices.The pledgeability of carbon assets makes carbon prices directly affect the firm default boundary and indirectly affect the default boundary through affecting the scale of green investment.Therefore,the model in this paper can study how the green investment policy,credit risk,and green bond prices will change correspondingly as the carbon price changes.The proposed model shows that the optimal investment decision of firms is an equilibrium result under the trade-off.The increase in the carbon price can indeed reduce the credit spread of green bonds.Intuitively,the higher carbon price makes the scale of green investment larger.However,the model leads to a different conclusion that the increase in the carbon price reduces the optimal green investment when the carbon price is significantly higher than the shadow carbon price.This paper finds one of the essential factors leading to the conclusion is that the direct impact of the carbon price on credit risks is greater than the indirect impact due to the asymmetric impacts of carbon price on the probability and cost of default.Moreover,the discussion on the shadow carbon price shows that firms should strive to develop green technologies in green investment to improve carbon emission reduction capacity per unit of output value and reduce the marginal carbon emission reduction.The empirical results verify the prediction of the theoretical model.The paper collates and selects relevant data on 820 green bonds issued by 422 firms in China from January 2016 to June 2022.Further empirical analysis implies that firm optimal green investment policies are characterized by a double threshold of carbon prices.When the carbon price is lower than its shadow price,the increase in the carbon price enhances the optimal green investment scale.Contrary to the intuition,when the carbon price is at a high level,the carbon price reduces optimal green investments.Furthermore,when the carbon price is at lower or higher levels,the green bond credit spreads increase and decrease correspondingly as the scale of green investment decreases.This paper contributes to a deeper understanding of the role and micro-mechanism of carbon prices on the optimal green investment policy of firms and the pricing of green bonds.