This study aims to examine the impact of the net‐zero policy on forward default risk at the firm level within the energy sector of the US, spanning over the period 2007–2021. The research employs Panel Vector Autoregression (PVAR) modeling, as well as linear and non‐linear Autoregressive Distributed Lag (ARDL) models to investigate this relationship. The findings suggest that the implementation of net‐zero policy measures can have complex effects on firms' default risk in both the short and long run. The PVAR results confirm a unidirectional negative impact of net‐zero policies on forward default risk over 2, 3, and 5 years. The symmetric ARDL model results show a negative long‐run impact on the future probability of default, with short‐run impacts being positive across all time horizons. The asymmetric ARDL model findings indicate that positive net‐zero measures reduce the probability of default in the long run and increase it in the short run across all time horizons. Conversely, negative shocks of net‐zero measures lead to an increase in the forward probability of default in the long run. The differences in findings between the long and short run are attributed to the effects of capital expenditures on infrastructure expenses required to achieve net‐zero results. This study contributes to the literature on financial outcomes and the impact of adopting sustainable development and net‐zero goals. The policy implications suggest that a supportive institutional framework must be provided to reduce the financial default in energy sector firms, which will assist in capital and infrastructure expenditures in the short run.

中文翻译：

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能源行业的净零政策和远期违约风险：使用 （a） 对称模型证明企业环保主义的证据


本研究旨在研究 2007 年至 2021 年期间美国能源行业企业层面净零政策对公司层面远期违约风险的影响。该研究采用面板向量自回归 （PVAR） 建模以及线性和非线性自回归分布滞后 （ARDL） 模型来研究这种关系。研究结果表明，净零政策措施的实施会在短期和长期内对企业的违约风险产生复杂的影响。PVAR 结果证实，净零政策在 2 年、3 年和 5 年内对远期违约风险存在单向负面影响。对称 ARDL 模型结果显示，对未来违约概率的长期负面影响，而短期影响在所有时间范围内都是积极的。不对称 ARDL 模型结果表明，积极的净零措施从长期来看降低了违约的可能性，并在所有时间范围内增加了短期违约的可能性。相反，从长远来看，净零措施的负面冲击会导致远期违约概率增加。长期和短期研究结果的差异归因于资本支出对实现净零结果所需的基础设施费用的影响。本研究有助于撰写有关财务结果以及采用可持续发展和净零目标的影响的文献。政策影响表明，必须提供支持性的制度框架来减少能源行业公司的财务违约，这将有助于短期内的资本和基础设施支出。