| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14609 |
| DP14609 A Finance Approach to Climate Stress Testing | |
| Henk Jan Reinders; Dirk Schoenmaker; Mathijs Van Dijk | |
| 发表日期 | 2020-04-13 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | There is increasing interest in assessing the impact of climate policies on the value of financial sector assets, and consequently on financial stability. Prior studies either take a “black box” macro-modelling approach to climate stress testing or focus solely on equity instruments – though banks’ exposures predominantly consist of debt. We take a more tractable finance (valuation) approach at the industry-level and use a Merton contingent claims model to assess the impact of a carbon tax shock on the market value of corporate debt and residential mortgages. We calibrate the model using detailed, proprietary exposure data for the Dutch banking sector. For a €100 to €200 per tonne carbon tax we find a substantial decline in the market value of banks’ assets equivalent to 4-63% of core capital, depending on policy choices. |
| 主题 | Financial Economics ; Public Economics |
| 关键词 | Climate stress test Contingent claims analysis Climate policies Carbon tax Banks |
| URL | https://cepr.org/publications/dp14609 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543519 |
| 推荐引用方式 GB/T 7714 | Henk Jan Reinders,Dirk Schoenmaker,Mathijs Van Dijk. DP14609 A Finance Approach to Climate Stress Testing. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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