欧洲央行-气候压力测试对银行贷款的影响（英）

Working Paper Series Bank lending implications of climate stress tests Valentina De Cicco, Isabella Gschossmann, Christoffer Kok 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 3088 AbstractDo climate stress tests affect bank credit supply to brown firms? Using a difference-in-differences approach and detailed data on individual bank loans in the euro area,this paper provides novel evidence on the effects of the ECB’s 2022 climate riskstress test. Despite no capital implications or public disclosures, participating bankssignificantly reduced credit to greenhouse gas-intensive industries relative to non-participants.Among affected firms, smaller borrowers were more negatively im-pacted. Notably, only the best-performing banks in the climate stress test signif-icantly reduce their brown credit after participation. This is evidence that bankswhich are more advanced in climate risk management more proactively considertransition risks in their lending. In contrast, banks less advanced in managing cli-mate risk do not to the same extent discriminate against polluting firms.Keywords: Climate Risk, Climate Stress Test, Banking SupervisionJEL Codes: E51, G21, G28ECB Working Paper Series No 3088 1Non-technical summaryIn recent years, central banks and banking regulators have become increasingly con-cerned with the financial risks posed by climate change. While it is not in the mandateof central banks or supervisors to implement climate policies, they recognize that climatechange and related policies can affect both the economy and financial stability. To ad-dress this, banking regulators have started encouraging banks to manage their exposureto climate-related risks carefully. One key tool are climate stress tests, which evaluatehow well banks can handle climate risks. Unlike traditional stress tests, these climatestress tests do not result in penalties or public disclosure of individual results, raisingthe question of whether this approach is strong enough to prompt meaningful changesin banks’ behavior.This study investigates whether climate stress tests influence banks’ lending practices,particularly toward carbon-intensive industry (i.e., “brown”) firms. Using data from theEuropean Central Bank’s 2022 climate stress test, we examine if participating banksreduced lending to brown firms compared to those that did not participate. We findthat banks involved in the stress test did indeed reduce their loans to brown firms. Inparticular, small borrowers are more adversely affected by participating banks’ creditallocation policies following the stress test. However, inherent differences between par-ticipating and non-participating banks as well as other factors prevalent in our sampleperiod (e.g., the broader adverse macroeconomic environment) have likely played a rolein the lending dynamics we observe bef