摘要：
Commercial banks manage climate risk by pricing firm climate risk exposure into loanspreads. Using annual report disclosures, we measure this exposure and estimate its impacton loan pricing. A one-standard-deviation increase in climate risk exposure raises loarspreads by 40 basis points on average. Banks respond to firm transition risks but not to physical risks. This effect stems from transition risks that reduce firm profitability and increasedefault probabilities. In contrast, banks do not adjust loan spreads for physical risks whichprimarily cause losses in tangible assets. The pricing of climate risk intensifies for high leverage and risk firm, as these firms are more susceptible to climate-related shocks. External factors also matter: during periods of heightened public climate awareness and for banks withstrong environmental commitments, the climate risk premium in loan spreads grows larger.
From Li M, Wen Z, Yang X. How Do Banks Price Climate Risk? Evidence from Firm‐Level Lending in China[J]. Asia‐Pacific Journal of Financial Studies, 2025, 54(5): 597-633.
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