2023建立管理气候风险的宏观审慎框架报告

December 2023 byECB/ESRB Project Teamon climate risk Contents 1Executive summary3 A surveillance framework3A macroprudential policy framework5A framework for exploring broader risks arising from nature degradation8Closing a chapter8 2Introduction9 3.1Exposure metrics13Box 1Energy performance certificates in euro area banks273.2From exposure to risk and vulnerability metrics313.3Scenario-based vulnerability assessment49Box 2Exposure of pension providers to transition risks65 4Policy considerations69 4.1A general macroprudential strategy to address climate-related risks tofinancial stability694.2Operationalising a macroprudential framework with existinginstruments78Box 3Estimating the impact of a climate systemic risk buffer on creditsupply85Box 4An illustrative calibration exercise of a climate systemic risk bufferbased on the ECB climate stress test90 108 5.1Introduction to nature-related risks1095.2EU case studies115Box 5Ecosystem accounting–The state of ecosystems in Europe117 Box 6Using ecosystem accounting data to derive ecosystemdependencies of the agricultural sector119 Box 7Dependency on biodiversity of syndicated loans among Europeanlenders130 Box 8Dependencies and impacts of the European equity market onecosystem services133 5.3Nature-related initiatives in EU jurisdictions136 6Conclusions139 References141 152 Imprint and acknowledgements 1Executive summary This report proposes three frameworksfor relating climate risks to financial stability–addressing risk surveillance, macroprudential policy and broader risks to nature.A firstframework covers financial stability risk surveillance. It takes stock of advances in measuring andmodelling the impacts of climate risk, proposing a list of indicators for regular financial stability riskmonitoring. A second framework details macroprudential policy options. It outlines both the featuresof a robust strategy aswell as an initial operational design based on existing instruments, whichcan be scaled up as further information and more tailored policy options emerge. A third frameworktakes a first look at prospective financial stability impacts stemming from naturedegradation, whichcould serve to exacerbate the financial stability impacts of climate change. A surveillance framework Agrowing list of indicatorscanbe curated into a framework for monitoring climate risks tofinancial stability that is flexible enough to incorporate new information as it emerges.Thesurveillance framework proposed in this report and the accompanyingChartbookconsists ofseveral building blocks. A first surveillance block tracks the increasing salience of climate shocks,spanningboth transition and physical risks. A second block focuses on exposures of entities in theEuropean Union (EU), both financial and economic, to these climate shocks. A final block considersthe intersection of climate risk and financial vulnerability, using a set of financial risk indicators.These measure not only direct exposures but also amplification through interaction between thereal and financial sectors (notably the prospect of systemic aspects). The surveillance frameworkpresented in this reportcan be adapted to incorporate ongoing improvements in the measurementand modelling of climate-related risk. To cater for such analytical advances, the framework isscalable and is also flexible enough to accommodate further measurement advances. Available indicators suggestheterogeneous exposures to climate risk across EU countries,sectors and firms, with access to consistent information on adaptation measures remaininglimited.Firms’ carbon emissions currently vary greatly both across and within sectors. Firms alsoexhibit strong heterogeneity based on forward-looking information–encompassing emissionreduction targets, transition investment, exposure to high-carbon assets and portfolio alignment. Astransition planning continues to proliferate, it is noteworthy that figures disclosed by firms remainsubject to inaccuracies, with external validation tending to result in direct emissions estimatesaround 7% higher. For households,even data on emissions remain scarce. Survey-basedestimates ofaverage energy costs across EU countries range from below 8% of expenditure toabove 20%. While more granular datasets for households at the EU level remain elusive, availablecountry-level evidence suggests unevenemissionsacross geographic areas and income groups.1Government exposures to climate risk importantlyrelate to managing thepace and scaleoftransition,2while on the physical risk side much climate-related risk stems from contingent impacts on expenditures and revenues resulting from climate shocks. Standard debt sustainability analysessuggest that first-order impacts of physical climate disasters could push up sovereign debt by overfive percentage points of GDP for some euro area countries. Any materialisation of contingentliabilities, alongside difficult-to-quantify climate “tipping points”, could add signific