Risk management and private debt contracts: The role of weather derivatives

IF 2.2 3区管理学 Q2 BUSINESS, FINANCE Journal of Business Finance & Accounting Pub Date : 2024-04-02 DOI:10.1111/jbfa.12800

Viet Do, Thu Ha Nguyen, Tram Vu

引用次数: 0

Abstract

Using energy firm data and the 1997 introduction of weather derivatives as a natural experiment, we document an average 21-basis-point interest reduction in bank loans after borrowers hedge with weather derivatives. This saving increases among borrowers with higher risk or less complex financial reports, and during more uncertain market conditions or when investors pay more attention to climate risks. Our results are robust to endogeneity-corrected methods. Hedging firms are more willing to pledge collateral, accept stricter covenants and exhibit lower risks and a lower likelihood of covenant violations within 1 year following loan origination. We also find hedging firms have lower bond yields and a lower bank debt ratio, indicating that the benefits from hedging with weather derivatives extend to the public debt market. Overall, our findings demonstrate important financial implications of hedging using weather derivatives.

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风险管理与私人债务合同：天气衍生品的作用

利用能源公司数据和 1997 年引入的天气衍生品作为自然实验，我们记录了借款人使用天气衍生品对冲后，银行贷款利息平均减少 21 个基点。在风险较高或财务报告不那么复杂的借款人中，以及在市场条件更不确定或投资者更关注气候风险的情况下，这种节省会增加。我们的结果对内生性校正方法是稳健的。套期保值企业更愿意抵押担保品，接受更严格的契约，并在贷款发放后一年内表现出较低的风险和违反契约的可能性。我们还发现，套期保值企业的债券收益率较低，银行负债率也较低，这表明利用天气衍生品进行套期保值的好处延伸到了公共债务市场。总之，我们的研究结果表明，使用天气衍生品进行套期保值具有重要的财务意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Finance & Accounting BUSINESS, FINANCE-

CiteScore

4.40

自引率

17.20%

发文量

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