Risques climatiques et politique de collatéral des banques centrales: une expérience méthodologique

Antoine Oustry, Bünyamin Erkan, Romain Svartzman and Pierre-François Weber

Revue économique, 2022, vol. 73, issue 2, 173-218

Abstract: Central banks increasingly acknowledge that climate change is a source of financial risks, which is likely to also impact their conduct of monetary policy. Against this backdrop, the aim of this paper is to explore one potential approach to factoring climate-related transition risks into a central bank?s collateral framework. Given the radical uncertainty associated with measuring such risks, this approach relies on so-called climate ?alignment? methodologies, which enable to assess the consistency of eligible and pledged marketable assets with specific climate targets. Moreover, this paper proposes a ?climate-hedging portfolio approach?: instead of seeking to ?align? the collateral on an asset-by-asset basis, central banks could aim for ?alignment,? in aggregate, of the collateral pools pledged by their counterparties with a given climate target. The rationale for this choice is that assessing climate-related risk at the pool level avoids the Eurosystem having to decide on which assets/issuers in the pools should be excluded or capped, and is therefore more compatible with a market neutrality approach. The numerical experiment using Eurosystem marketable criteria data suggests that, in aggregate, neither the Eurosystem eligible collateral universe nor the collateral pledged is ?aligned? with the climate targets of the European Union. From this perspective, the Eurosystem marketable collateral can be considered to be exposed to climate-related transition risks. We discuss the potential practical implications of aiming to ?align? collateral pools, and suggest avenues for further work.

Keywords: monetary policy; collateral framework; climate change; risk and uncertainty; Eurosystem (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_732_0173 (application/pdf)
http://www.cairn.info/revue-economique-2022-2-page-173.htm (text/html)
free

Related works:
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:cai:recosp:reco_732_0173

Access Statistics for this article

More articles in Revue économique from Presses de Sciences-Po
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().