2023-09-06-IMF-碳冲击下的违约风险与过渡动力学（英）_51页_1mb

This analysis examines the impact of carbon pricing policies on corporate default risk and transition dynamics. The model features heterogeneous firms facing cash flow uncertainty (represented by Brownian motion) and optimal payout decisions. Carbon pricing is modeled as a shock to cash flows via a parameter δ = 1 - θP. Default occurs when net worth hits zero, and default probability is derived via the Hamilton-Jacobi-Bellman equation yielding closed-form solutions. The model is calibrated to U.S. transportation and manufacturing sectors, revealing high emission intensity in transportation (about 15x manufacturing) drives its vulnerability. Carbon price shocks of $25/$50/$75 increase default risk asymmetrically across the net worth distribution, especially affecting low-net-worth firms more sharply. While transition speeds increase with larger shocks due to higher default rates inducing faster adjustment via higher discount rates, the manufacturing sector transitions faster despite lower emissions due to mitigating factors. Mitigation efforts reducing emission intensity slightly decrease default risk but yield limited effects compared to transportation, potentially reducing incentives for substantial reductions. Implicit cost of capital spikes materialize even without explicit carbon shocks, signaling higher perceived risks. The transportation sector shows slower transition dynamics, reflecting its carbon intensity.

Specifically, transportation default rates rose by 2.66%, 5.21%, and 9.17% respectively for $25/$50/$75 shocks. Manufacturing saw milder increases ($0.20%, $0.39%, $0.59%). Average half-life for transition was 1.45/1.44/1.39 years in transportation and 0.83 years in manufacturing. Transportation default risk increased 224-674 basis points under same shocks, with manufacturing showing 16-47 basis points. Mitigation offered some relief but proved less effective in manufacturing compared to transportation for both default risk and cost of capital increases.