本研究探討企業層級的碳強度是否影響美國聯合貸款的定價。透過結合銀行聯貸合約資料與企業碳排放數據，實證結果顯示高碳強度企業需承擔較高的貸款利差，顯示氣候轉型風險已部分體現在債務融資成本中。進一步分析發現，碳強度對貸款成本的影響主要出現在借款企業屬於碳密集產業的合約中，反映出此類貸款結構對氣候風險較為敏感。為解決內生性問題，本研究採用雙重差分法，並以2016年美國總統大選作為外生政策衝擊。結果顯示，川普當選後高碳排企業的貸款利差顯著下降，顯示市場對於環境監管趨緩的預期已反映在貸款條件中。本研究揭示氣候政策預期如何影響企業的融資成本，並為銀行進行ESG風險評估與制定監理政策提供重要參考。

This study examines whether firm-level carbon intensity affects the pricing of syndicated loans in the U.S. market. By combining loan-level pricing data and corporate carbon emissions data, the analysis shows that firms with higher carbon intensity tend to incur higher borrowing costs, suggesting that carbon transition risk is partially priced in bank lending. However, this relationship is statistically significant only in carbon-intensive industries, which tend to be more sensitive to future uncertainty. To address endogeneity concerns, the study adopts a difference-in-differences (DiD) framework, leveraging the 2016 U.S. presidential election as an exogenous shift in regulatory expectations. The findings indicate that loan spreads for high-emission firms declined significantly following Trump’s victory, consistent with a perceived easing of climate-related regulatory pressure. These results underscore the role of policy expectations in shaping credit market outcomes and offer important implications for ESG risk pricing and financial regulation.

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