由於氣候變遷加劇以及市場對於氣候風險意識的提高，2017年發佈的TCFD氣候相關揭露逐漸受到全球金融機構的支持，但是過去對氣候風險與貸款利差間的研究相對匱乏。因此本文志在研究企業向銀行進行貸款時，企業的氣候風險對於貸款利差的影響，發現當企業的氣候風險較高時貸款利差也會較高。由於氣候災害事件對於銀行的潛在風險，本文也研究了貸款銀行的氣候風險對於貸款利差的影響，發現貸款銀行的氣候風險較高時所提供的貸款利差也會較高。
由於營業地區的氣候風險屬於外部的不可控制的因素，我們試圖找到企業本身能努力的方向以改善氣候風險對貸款利差造成的影響，最終發現企業的環境績效表現越佳則能降低氣候風險對貸款利差的負面影響。
本文以MSCI ACWI世界指數成分股公司以及支持TCFD的商業銀行間的貸款作為研究對象，研究期間從2015至2020年，企業環境績效資料使用Refinitiv ASSET4 (datastream) 資料庫，國家/地區氣候風險資料使用Germanwatch編製的Global Climate Index ；美國地區的氣候風險資料使用Federal Emergency Management Agency (FEMA) 發佈的National Risk Index與National Oceanic and Atmospheric Administration (NOAA) 發佈的U.S. Climate Extremes Index。

This study investigates the impact of climate risk on loan spreads and the role of environmental performance in mitigating these effects. With increasing support for TCFD, this research addresses the relative lack of studies on the climate risk-loan spread relationship. Findings reveal a positive association between corporate climate risk and loan spreads, indicating that banks consider climate risk when pricing loans. Additionally, banks exposed to higher climate risk charge higher spreads due to potential climate-related risks.

The study explores actionable strategies for firms to mitigate climate risk's impact on loan spreads, emphasizing the importance of better environmental performance. It examines firms listed in MSCI ACWI World Index and loans from TCFD-supporting banks from 2015 to 2020. National/regional climate risk data is sourced from the Global Climate Index, while U.S. data uses NRI and U.S. CEI published by FEMA and NOAA.

This research sheds light on the connection between climate risk and loan spreads, offering insights for banks and firms to manage climate-related risks. It highlights the significance of TCFD and encourages climate-resilient policies for financial institutions and policymakers.

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