IDEAS home Printed from https://ideas.repec.org/a/bde/revisl/y2021i5n8.html

The design of macroeconomic scenarios for climate change stress tests

Author

Listed:
  • Pablo Aguilar
  • Beatriz González
  • Samuel Hurtado

Abstract

The challenges of climate change affect all aspects of the economy, including financial stability, which may be affected both by the physical risks (associated with the climate change process itself) and the transition risks (associated with initiatives to curb the climate change process). This article presents a model designed to produce macroeconomic scenarios, chiefly related to transition risks, to serve as a basis for stress tests to verify that all the components of the financial system are prepared for possible adverse events of this type. In particular, these scenarios are based on a hypothetical rise in the price of CO2 emission allowances, over a 2-5 year horizon. The model simulates the impact of this shock on the Spanish economy, paying particular attention to sectoral asymmetries arising from the intensity with which different types of energy are used in each industry, the interdependencies summarised in the input-output tables for the Spanish economy and the general equilibrium effects in terms of relative price changes and sectoral reallocation.

Suggested Citation

  • Pablo Aguilar & Beatriz González & Samuel Hurtado, 2021. "The design of macroeconomic scenarios for climate change stress tests," Financial Stability Review, Banco de España, issue Spring.
    • Handle: RePEc:bde:revisl:y:2021:i:5:n:8
    Note: 40
    as

    Download full text from publisher

    File URL: https://www.bde.es/f/webbde/Secciones/Publicaciones/InformesBoletinesRevistas/InformesEstabilidadFinancera/21/8_Escenarios_FSR.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bolton, Patrick & Kacperczyk, Marcin, 2021. "Do investors care about carbon risk?," Journal of Financial Economics, Elsevier, vol. 142(2), pages 517-549.
    2. Ana Arencibia Pareja & Samuel Hurtado & Mercedes de Luis López & Eva Ortega, 2017. "New version of the quarterly model of Banco de España (MTBE)," Occasional Papers 1709, Banco de España.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pablo Aguilar & Beatriz González & Samuel Hurtado, 2021. "The design of macroeconomic scenarios for climate change stress tests," Financial Stability Review, Banco de España, issue Spring.
    2. Bardos, Katsiaryna Salavei & Mishra, Dev R. & Somé, Hyacinthe Y., 2025. "Firm-level climate sentiments, climate politics and implied cost of equity capital," Journal of Corporate Finance, Elsevier, vol. 94(C).
    3. Xu, Chong & Tao, Miaomiao & Qi, Lingli & Roubaud, David, 2025. "Can green CEOs trigger the green premium effect?," Finance Research Letters, Elsevier, vol. 80(C).
    4. Simone Giansante & Mahmoud Fatouh & Nicholas Dove, 2023. "Carbon Emissions Announcements and Market Returns," Sustainability, MDPI, vol. 15(13), pages 1-16, June.
    5. Sandu Diana-Mihaela, 2023. "Is There Any Effect of ESG Scores on Portfolio Performance in South Africa?," Proceedings of the International Conference on Business Excellence, Paradigm, vol. 17(1), pages 1807-1817, July.
    6. Gipper, Brandon & Sequeira, Fiona & Shi, Shawn X., 2026. "Carbon accounting quality: Measurement and the role of assurance," Journal of Accounting and Economics, Elsevier, vol. 81(2).
    7. Ferriani, Fabrizio & Gazzani, Andrea, 2023. "The impact of the war in Ukraine on energy prices: Consequences for firms’ financial performance," International Economics, Elsevier, vol. 174(C), pages 221-230.
    8. Riccardo Rebonato & Dherminder Kainth & Lionel Melin, 2025. "The Impact of Physical Climate Risk on the Valuation of Global Equity Assets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(4), pages 857-894, April.
    9. Awijen, Haithem & Ben Zaied, Younes & Ben Jabeur, Sami, 2025. "Mobilizing FDI in natural resources in the post-COP28 era: Spatial drivers, natural capital, and sustainability dynamics," Resources Policy, Elsevier, vol. 107(C).
    10. Barroso, Raúl & Duan, Tinghua & Guo, Siyue (Sarina) & Kowalewski, Oskar, 2024. "Board gender diversity reform and corporate carbon emissions," Journal of Corporate Finance, Elsevier, vol. 87(C).
    11. Waldemar Karpa & Antonio Grginović, 2021. "(Not So) Stranded: The Case of Coal in Poland," Energies, MDPI, vol. 14(24), pages 1-16, December.
    12. Anastasia Cozarenco & Steven Ongena, 2026. "Social and Environmental Financial Services: Where Do We Stand?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 69(1), pages 1-16, April.
    13. Yan, Jingjing & Wang, Kun & Ma, Pan, 2026. "The impact of public climate sentiment on systemic risk: Evidence from commodity and stock market systems," Journal of Commodity Markets, Elsevier, vol. 41(C).
    14. Heider, Florian & Inderst, Roman, 2021. "A Corporate Finance Perspective on Environmental Policy," EconStor Preprints 253669, ZBW - Leibniz Information Centre for Economics.
    15. Lars Hornuf & Christoph Merkle & Stefan Zeisberger, 2026. "Defaulting Investors Toward Sustainability: A Field Experiment," CESifo Working Paper Series 12733, CESifo.
    16. Di Tommaso, Caterina & Foglia, Matteo & Pacelli, Vincenzo, 2025. "The impact of biodiversity score on the European firm’s performance," International Review of Financial Analysis, Elsevier, vol. 106(C).
    17. Patrick Gruning, 2022. "Fiscal, Environmental, and Bank Regulation Policies in a Small Open Economy for the Green Transition," Working Papers 2022/06, Latvijas Banka.
    18. Moran Wang & Yuying Sun & Shouyang Wang, 2026. "Can Chinese firms benefit from issuing carbon–neutral bonds?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-28, December.
    19. Fan, Yali & Wang, Xiuzhong & Li, Zhuoran & Wu, Wei, 2025. "From harm to Hope: How green innovation alleviates environmental injustice triggered by non-green innovation," International Review of Economics & Finance, Elsevier, vol. 101(C).
    20. Azzone, Michele & Barucci, Emilio & Stocco, Davide, 2026. "Asset management with an ESG mandate," Journal of Banking & Finance, Elsevier, vol. 184(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bde:revisl:y:2021:i:5:n:8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdegves.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.