Climate-Related Scenarios for Financial Stability Assessment: an Application to France

Thomas Allen, Stephane Dees, Jean Boissinot, Carlos Mateo Caicedo Graciano, Valérie Chouard, Laurent Clerc, Annabelle De Gaye, Antoine Devulder, S bastien Diot, Noëmie Lisack, Fulvio Pegoraro, Marie Rabat, Romain Svartzman and Lucas Vernet

Working papers from Banque de France

Abstract: This paper proposes an analytical framework to quantify the impacts of climate policy and transition narratives on economic and financial variables necessary for financial risk assessment. Focusing on transition risks, the scenarios considered include unexpected increases in carbon prices and productivity shocks to reflect disorderly transition processes. The modelling framework relies on a suite of models, calibrated on the high-level reference scenarios of the Network for Greening the Financial System (NGFS). Relying on this approach, the ACPR has selected a number of quantitative scenarios to be submitted to agroup of voluntary banks and insurance companies to conduct the first bottom-up pilot climate-related risk assessment.

Keywords: Climate Change; Scenario Analysis; Economic Modelling; Financial Stability (search for similar items in EconPapers)
JEL-codes: C60 E50 G32 O44 Q40 Q54 (search for similar items in EconPapers)
Pages: 68 pages
Date: 2020
New Economics Papers: this item is included in nep-agr, nep-ene, nep-env and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:774

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