实证检验部分则主要围绕上述理论模型的模拟结果，为其提供实证支持。实证部分以2013年中国政府制定的清洁空气行动（Clean Air Action）作为准自然实验，基于江苏省微观银行数据，以高污染行业企业信贷作为处理组，采用DID方法检验环境规制政策的影响。实证检验的结果表明，相较于对照组，环境规制政策的制定显著提升了高污染行业企业信贷的违约率和信贷的溢价水平。进一步地，本文使用三重差分（DDD）模型进行异质性检验，结果发现上述的影响效应在中小微企业和非国有企业中更为显著。从银行的角度来看，对于大型银行和绿色程度较高的银行，这一效应更为显著，说明这些银行在信贷定价的过程中对环境因素考虑得较为充分。同时，对位于环境规制政策更加严格的地区的企业而言，上述效应也更为显著。此外，本文还开展了PSM和安慰剂检验，相应的结果均支持基准回归结果。
This paper assesses the risk arising from transition toward a low-emission economy and examines its transmission channels within the financial system. The environmental dynamic stochastic general equilibrium (E-DSGE) model shows that tightening environmental regulation impairs firms’ balance sheets in the short term, as it enforces firms to internalize the pollution costs, which consequentially escalates the risks facing the financial system. For the empirical analysis, we employ the Clean Air Action that the Chinese government launched in 2013 as a quasi-natural experiment. The analysis on a unique dataset containing more than one million loans indicates that the default rates of high-polluting firms rose by around 80% along their environmental policy exposure. Further analysis shows those joint equity commercial banks with lower degree of government intervention and better corporate governance structure were able to appropriately manage their exposure to transition risks, while the state-owned banks failed to factor in such risks when extending credit to the borrowers targeted by the environmental regulation.