The Effect of Greenhouse Gas Emissions on the Cost of Debt Capital: Evidence from Korean Manufacturing Firms

doi:10.15266/KEREA.2024.33.4.413

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2024 Vol.33, Issue 4 Preview Page Next Page

Research Paper

The Effect of Greenhouse Gas Emissions on the Cost of Debt Capital: Evidence from Korean Manufacturing Firms 국내 제조기업의 온실가스 배출이 타인자본비용에 미치는 영향: 서희영*‧홍종호**
Heeyoung Seo* and Jongho Hong**; *한국사회책임투자포럼 책임연구원, 제1저자(e-mail: hyseo@kosif.org)
**서울대학교 환경대학원 교수, 서울대학교 환경계획연구소 및 지속가능 발전연구소 겸무연구원, 교신저자(e-mail: hongjongho@snu.ac.kr)

*Senior Researcher, Korea Sustainability Investing Forum, First author (e-mail: hyseo@kosif.org)
**Professor, Graduate School of Environmental Studies, Seoul National University, Corresponding author (e-mail: hongjongho@snu.ac.kr)

31 December 2024. pp. 413-438

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Abstract

This study investigates whether Korean manufacturing firms can potentially lower financing costs through carbon abatement investments analyzing the effect of firms’ greenhouse gas (GHG) emissions on the cost of debt capital. We use data on GHG emissions and finances of listed Korean manufacturing firms from 2011 to 2022 and construct an unbalanced panel dataset comprising 2,154 observations. A fixed effects model is employed in the empirical analysis. The results show a statistically significant positive correlation between carbon intensity and the cost of debt capital for SMEs in the high-emitting industries under the Target Management System. After the introduction of the Emission Trading System in 2015, this positive correlation was expanded to high-emitting large companies. No significant correlation was found during the COVID-19 pandemic, which led to an abrupt economic downturn. Industry-specific findings further suggest that high-emitting companies in semiconductors/display and electronics sectors face increased cost of debt capital as carbon intensity rises. These empirical findings suggest that carbon abatement investment by Korean manufacturing firms can yield financial benefits in the form of lower cost of debt capital.

Keywords

Carbon intensity

Cost of debt capital

Korean manufacturing firms

Transition risks

Fixed effects model

이 연구의 목적은 국내 제조기업의 온실가스 배출이 타인자본비용에 미치는 영향을 실증 분석하는 데 있다. 이를 통해 탈탄소화 시대에 기업의 온실가스 감축 투자가 금융비용 측면에서 잠재적 이익을 가져오는지 여부를 탐색하고자 한다. 국내 상장 제조기업의 2011년부터 2022년까지 온실가스 배출량과 재무정보를 통해 2,154개의 불균형패널자료를 구축한 후 고정효과모형을 이용하여 분석하였다. 분석 결과, 목표관리제 기간에 다배출 업종 중소기업의 탄소집약도와 타인자본비용 간 통계적으로 유의한 양의 상관관계가 발견되었다. 배출권거래제 도입 이후에는 탄소집약도와 타인자본비용 간 유의한 양의 상관관계가 다배출 대기업으로 확장되어 나타났다. 급격한 경기침체를 가져왔던 코로나19 팬데믹 기간에는 두 변수 간 유의한 관계가 발견되지 않았다. 업종별 분석 결과, 반도체‧디스플레이, 전기전자에서 동일 업종 내 다배출 기업의 탄소집약도 증가 시 타인자본비용이 증가하는 것으로 나타났다. 이러한 연구결과는 국내 제조기업의 온실가스 감축 투자가 비용만 유발하는 것이 아니라 타인자본비용 절감이라는 유의미한 편익을 가져올 수 있다는 실증적 증거를 제시한다.

키워드

탄소집약도

타인자본비용

제조기업

전환 리스크

고정효과모형

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Information

Publisher :Environmental and Resource Economics Review
Publisher(Ko) :자원 · 환경경제연구
Journal Title :자원·환경경제연구
Journal Title(Ko) :Environmental and Resource Economics Review
Volume : 33
No :4
Pages :413-438
DOI :https://doi.org/10.15266/KEREA.2024.33.4.413

[1] 기획재정부, “배출권거래제 기본계획(안)”, 2014.

[2] 기획재정부, “제2차 배출권거래제 기본계획(안)”, 2017.

[3] 김경미(2022.04.11), 탄소배출권값 1년 새 36% 급등… 기업 ‘탄소부채’ 벌써 3000억, 중앙일보, https://www.joongang.co.kr/article/25062327

[4] 김길환‧노동운, “목표관리제 시행에 따른 온실가스 감축효율성에 대한 실증연구”, 「기본 연구 보고서 16-18」, 2016.

[5] 김선진‧안희정‧이윤정, “주요국 기후변화 대응정책이 우리 수출에 미치는 영향-탄소국경세를 중심으로”, 「한국은행 조사통계월보」, 제75권 제7호, 2021, pp. 16~45.

[6] 김재윤‧전은경, “기후변화 이행리스크와 금융안정”, 「한국은행 조사 통계월보」, 제75권 제12호, 2021, pp. 16~52.

[7] 대한상공회의소, “온실가스 다배출기업의 탄소중립 대응실태와 지원과제 조사”, 2024.

[8] 민인식‧최필선, 『STATA 고급 패널데이터 분석』, 지필미디어, 2019.

[9] 박경훈‧박종욱‧박상우‧임준혁‧김찬우‧이종웅‧곽윤영, “기후변화 대응이 거시경제에 미치는 영향”, 「BOK이슈노트」, 제2021-23호, 2021, pp. 1~23.

[10] 박영규, “기업의 사회적 책임활동과 회사채 신용등급”, 「Journal of The Korean Data Analysis Society」, 제17권 제1호, 2015, pp. 279~291.

[11] 심재현‧한민선(2018.11.22), 은마APT보다 더 오른 탄소배출권… ‘숨막히는 기업들’, 머니투데이, https://news.mt.co.kr/mtview.php?no=2018112213470287662

[12] 이상원‧이재윤, “2050 탄소중립과 제조업이 나아갈 길”, 「월간 KIET산업경제」, 2021, pp. 20~34.

[13] 이진호(2010.09.28), 산업‧발전부문 온실가스‧에너지 목표관리업체 374곳 지정, 전자신문, https://www.etnews.com/201009280028

[14] 한국에너지공단, “2022 산업부문(대상년도: 2021) 에너지사용 및 온실가스 배출량 통계”, 2022.

[15] 한국에너지공단, “2022년도 에너지사용량 통계”, 2023.

[16] 한치록, 『패널데이터강의』, 박영사, 2021.

[17] Al Rabab’a, E. A. F., A. Rashid, and S. Shams, “Corporate carbon performance and cost of debt: Evidence from Asia-Pacific countries,” International Review of Financial Analysis, Vol. 88, 2023, 102641.10.1016/j.irfa.2023.102641

[18] Caragnano, A., M. Mariani, F. Pizzutilo, and M. Zito, “Is it worth reducing GHG emissions? Exploring the effect on the cost of debt financing,” Journal of Environmental Management, Vol. 270, 2020, 110860.10.1016/j.jenvman.2020.110860 32721308

[19] Chapple, L., P. M. Clarkson, and D. L. Gold, “The cost of carbon: Capital market effects of the proposed emission trading scheme (ETS),” Abacus, Vol. 49, No. 1, 2013, pp. 1~33.10.1111/abac.12006

[20] Clarkson, P. M., Y. Li, M. Pinnuck, and G. D. Richardson, “The valuation relevance of greenhouse gas emissions under the European Union carbon emissions trading scheme,” European Accounting Review, Vol. 24, No. 3, 2015, pp. 551~580.10.1080/09638180.2014.927782

[21] Delmas, M. A., N. Nairn-Birch, and J. Lim, “Dynamics of environmental and financial performance: The case of greenhouse gas emissions,” Organization and Environment, Vol. 28, No. 4, 2015, pp. 374~393.10.1177/1086026615620238

[22] Fernández-Cuesta, C., P. Castro, M. T. Tascón, and F. J. Castaño, “The effect of environmental performance on financial debt. European evidence,” Journal of Cleaner Production, Vol. 207, 2019, pp. 379~390.10.1016/j.jclepro.2018.09.239

[23] Fujii, H., K. Iwata, S. Kaneko, and S. Managi, “Corporate environmental and economic performance of Japanese manufacturing firms: Empirical study for sustainable development,” Business Strategy and the Environment, Vol. 22, No. 3, 2013, pp. 187~201.10.1002/bse.1747

[24] Gagnon, J. E., S. B. Kamin, and J. Kearns, “The impact of the COVID-19 pandemic on global GDP growth,” Journal of the Japanese and International Economies, Vol. 68, 2023, 101258.10.1016/j.jjie.2023.101258 37012983 PMC10030258

[25] International Monetary Fund (IMF), World Economic Outlook: Countering the Cost-of-Living Crisis, 2022.

[26] Intergovernmental Panel on Climate Change (IPCC), “ed. Industry. In: Climate Change 2022 - Mitigation of Climate Change: Working Group III Contribution to the Sixth Assessment Report of the Intergovernmental Panel on Climate Change,” Cambridge University Press, 2023, pp. 1161~1244.10.1017/9781009157926.013

[27] Jung, J., K. Herbohn, and P. Clarkson, “Carbon risk, carbon risk awareness and the cost of debt financing,” Journal of Business Ethics, Vol. 150, 2018, pp. 1151~1171.10.1007/s10551-016-3207-6

[28] Kim, S. H., and Y. K. Jung, “Carbon Risk and the Cost of Debt,” Korea Accounting Review, Vol. 42, No. 2, 2017, pp. 169~213.10.24056/KAR.2017.04.002

[29] Kumar, P., and M. Firoz, “Impact of carbon emissions on cost of debt-evidence from India,” Managerial Finance, Vol. 44, No. 12, 2018, pp. 1401~1417.10.1108/MF-03-2018-0108

[30] Li, Y., I. Eddie, and J. Liu, “Carbon emissions and the cost of capital: Australian evidence,” Review of Accounting and Finance, Vol. 13, No. 4, 2014, pp. 400~420.10.1108/RAF-08-2012-0074

[31] Maaloul, A., “The effect of greenhouse gas emissions on cost of debt: Evidence from Canadian firms,” Corporate Social Responsibility and Environmental Management, Vol. 25, No. 6, 2018, pp. 1407~1415.10.1002/csr.1662

[32] Palea, V., and F. Drogo, “Carbon emissions and the cost of debt in the euro zone: The role of public policies, climate‐related disclosure and corporate governance,” Business Strategy and the Environment, Vol. 29, No. 8, 2020, pp. 2953~2972.10.1002/bse.2550

[33] Safiullah, M., M. N. Kabir, and M. D. Miah, “Carbon emissions and credit ratings,” Energy Economics, Vol. 100, 2020, 105330.10.1016/j.eneco.2021.105330

[34] Task Force on Climate-related Financial Disclosures (TCFD), Recommendations of the task force on climate-related financial disclosures, 2017.

[35] van Benthem, A. A., E. Crooks, S. Giglio, E. Schwob, and J. Stroebel, “The effect of climate risks on the interactions between financial markets and energy companies,” Nature Energy, Vol. 7, No. 8, 2022, pp. 690~697.10.1038/s41560-022-01070-1

[36] Wang, Q., “Financial effects of carbon risk and carbon disclosure: A review,” Accounting & Finance, Vol. 63, No. 4, 2023, pp. 4175~4219.10.1111/acfi.13090

[37] Wang, Y., Z. Wu, and G. Zhang, “Firms and climate change: a review of carbon risk in corporate finance,” Carbon Neutrality, Vol. 1, No. 6, 2022.10.1007/s43979-022-00005-9

자원·환경경제연구 ISSN:1229-9146(Print) Environmental and Resource Economics Review

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