欧洲央行-定价还是恐慌？商业房地产市场与气候变化（英）

Working Paper Series Pricing or panicking? Commercial real estate markets and climate change Kai Foerster, Ellen Ryan, Benedikt Scheid Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3059 AbstractThis paper provides the first study of climate risk pricing in euro area commercial realestate markets.We pay particular attention to changes in risk pricing over time, as asudden market shift may significantly amplify the financial stability and macroeconomicimplications of these risks. We find evidence of investors applying a penalty to buildingsexposed to physical risk and that this penalty has increased significantly over the 2007-2023period we study, particularly for properties exposed to risks associated with climate change.This change in pricing appears to have occurred in an orderly manner, with no implicationsfor liquidity in the market for high risk buildings. In contrast, while pricing of transitionrisk has also increased over the period studied, towards the end of our sample the marketresponse to transition risk appears to be playing out via market liquidity. This indicatesthat older buildings - which are more exposed to transition risks - may already be at risk ofbecoming “stranded assets”.Keywords: Climate Change, Commercial Real Estate, Financial StabilityJEL codes: R33, Q51, G2ECB Working Paper Series No 30591Non-Technical SummaryThis paper provides the first study of climate risk pricing in the euro area commercial real estate(CRE) market, focusing on its largest segment - the office market. We study the exposure ofeuro area office markets to climate risk, how investor pricing of these risks has developed overtime and implications for market liquidity. We find evidence of investors applying a penalty tobuildings exposed to physical climate risks and that this has increased significantly over the 2007-2023 period we study. This adjustment appears to have occurred in an orderly fashion, withoutdisruptions to market liquidity for high risk buildings. We also find evidence of increased pricingof transition risks over the sample we study. However towards the end of our sample the marketresponse to transition risk appears to be playing out via liquidity, suggesting that older buildingsmay already be at risk of becoming “stranded assets”.The potential impact of climate change on CRE prices has a number of direct financialstability and macroeconomic implications. Falling CRE values will have implications for theresilience of the firms, funds and insurers who own these assets, with knock-on effects on the creditrisk of associated debt exposures. Where CRE is used as collateral, falling values will furtherincrease the exposure of lenders to losses and reduce borrowers’ access to credit, potentiallyamplifying the macroeconomic impact of climate events.However, the timing and nature of this ad