Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios

Lucia Alessi and Stefano Battiston ()
Additional contact information
Stefano Battiston: University Ca' Foscari of Venice, http://www.unive.it/dip.economia

No 2021-14, JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission

Abstract: We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level, standardized and transparent coefficients for both estimates, based on definitions of greenness and transition risk that are applicable across countries. We analyse the portfolios of Euro Area investors in 2020, based on the confidential Securities Holdings Statistics of the European Central Bank. We find that, overall, the greenness of Euro Area investors' portfolios is lower than their exposure to transition risk (1.3% vs. 5.5%). Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 1.4% and 6.1% for investment funds, at 0.3% and 1.7% for banks and at 1.2% and 5.0% for insurers. Our analysis also shows that investors with large amounts invested in green activities can have at the same time large exposures to transition risk.

Keywords: greenness; climate transition risk; climate-related financial disclosures; EU Taxonomy; green financial flows (search for similar items in EconPapers)
JEL-codes: G2 G3 Q54 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2021-12
New Economics Papers: this item is included in nep-cwa, nep-eec, nep-ene and nep-env
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published by the European Commission, 2021

Downloads: (external link)
https://joint-research-centre.ec.europa.eu/publica ... ancial-portfolios_en
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jrs:wpaper:202114

Access Statistics for this paper

More papers in JRC Working Papers in Economics and Finance from Joint Research Centre, European Commission Contact information at EDIRC.
Bibliographic data for series maintained by Peter Benczur ().