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

Author

Listed:
  • Thomas Allen
  • Stéphane Dees
  • Jean Boissinot
  • Carlos Mateo Caicedo Graciano
  • Valérie Chouard
  • Laurent Clerc
  • Annabelle de Gaye
  • Antoine Devulder
  • Sébastien Diot
  • Noémie Lisack
  • Fulvio Pegoraro
  • Marie Rabaté
  • Romain Svartzman
  • Lucas Vernet

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.

Suggested Citation

  • Thomas Allen & Stéphane Dees & Jean Boissinot & Carlos Mateo Caicedo Graciano & Valérie Chouard & Laurent Clerc & Annabelle de Gaye & Antoine Devulder & Sébastien Diot & Noémie Lisack & Fulvio Pegorar, 2020. "Climate-Related Scenarios for Financial Stability Assessment: an Application to France," Working papers 774, Banque de France.
    • Handle: RePEc:bfr:banfra:774
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    More about this item

    Keywords

    Climate Change; Scenario Analysis; Economic Modelling; Financial Stability;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • O44 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Environment and Growth
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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