Supplement to “OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector”

Csilla Königswieser (), Benjamin Neudorfer () and Martin Schneider ()
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Benjamin Neudorfer: Oesterreichische Nationalbank, Financial Markets Analysis and Surveillance Division

Financial Stability Report, 2021, issue 42

Abstract: This supplement contains the formal write-up of the sectoral carbon price model as described in detail, albeit in natural language in section 3.1 of the paper “OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector” in the OeNB’s Financial Stability Report 42. The sectoral carbon price model is implemented as a multiregional input-output analysis for 21 NACE sectors in the 27 countries of the European Union. We start with a short introduction to input-analysis and carbon prices, section 2 is then structured along the five calculation steps of our input-output model: 1) carbon price shocks, 2) price model with incomplete cost pass-through, 3) final demand model, 4) quantity model and 5) second-round effects.

Date: 2021
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