Discussionof:Climaterisk,banklendingand monetarypolicy(Altavilla,Boucinha,Paganoand Polo,2023)
Jean-St´ephaneM´esonnier1,2
1 BanquedeFrance
2 SciencesPo
OECD-ECBworkshop“NavigatingthePathtoNet-Zero”,19April 2024
Opinionsexpressedarethoseoftheauthorsanddonotnecessarilyreflecttheviewsof theBanquedeFranceortheEurosystem
Mainresearchquestions:
1 Do(European)bankspriceclimatetransitionrisksontopofusual credit-risk? ⇒ Yes
2 Isthereanadditionalrisk-takingchannelofmonetary-policy? ⇒ Yes
1 Panelregressionsofaveragespread rfbt onfirm’sDP,Carbon intensity(CI)andEmissionreductiontargets,
2 PanelandPanel-LPregressionsofspreadsonfirm’sprofile interactedwithMPshocks.
• Anacredit(2018-2022):loan-levelinfo,collapsedat bank-firm-quarterlevel.
• Refinitiv:carbonintensities(Scopes1+2),GHGemissionreduction targets(Yes/No),SBTisignatories.
• EA-MPD:high-frequencyidentificationofMPshocks(Altavillaet al.,2019),aggregatedatquarterlyfrequency.
• Verynicepaper,timelyquestionincurrenttighteningcycle:cf. debateon“dualrates”toshoreoffinvestmentinthetransition (e.g.,Macron’scolumnin LeMonde,Dec.2023).
• NiceextensionofexistingresearchusingAnacreditinsteadof Dealscan.
• UsetrendyMPshocksidentificationfromHFfutureprices
• Lotsofrobustnesschecks.
√ Firm-level1-yearPDnotcontaminatedbyCI
√ AlternativesetsoffixedeffectsandSEclusteringdimensions
√ MPtransmission:DinDaroundkeytighteningepisodes(Dec.21, July22)
⇒ Difficultjobforthediscussant:alllow-hangingfruitsalready plucked!
Comments
1 Makebetteruseofavailableinformation
2 Twopapersinone?
3 Minorcommentsandsuggestions.
• Anacreditprovideswithincrediblyrichdata:whycollapseit?
• Howistheaveragebank-firmspreadreallycooked?Weightedby loansize?Maturity-matchingofloanswithOISbeforecollapseof after?Initialmaturityortimetomaturity?
• PDs:heterogeneityacrossbanks?Doesitmatter?
• Using(new)loan-leveldatainstead:controllingforpossible compositioneffectswithfirmandloancovariates(maturity,size, collateral...).
• Demandofcreditlinesvstermloansvariesacrossfirms,industries andtime(+COVIDoutbreakin2020isspecial:cf.,Greenwald, Krainer,Paul,2023)
• Typicalloanmaturityvarieswithinandbetweenindustries:how doesitcorrelatewithCI?
• Creditspreadsalsodependonmaturity:notably,capitalrisk-weights maturity-adjusted ⇒ 1-yearPDmaynotcapturewhole term-structureofPDs.
• SpreadonnewloansmoreappropriatetogaugeMPtransmission.
• Comparisoneasierwithstudiesusingsyndicatedloanissuance.
• Describeborrowers:
• Number,size,leverage,ROA,av.#ofloans,av.#oflenders
• Distributionacrosscountriesandindustries(inparticular highly-emittingsectors)
• Describebanks:
• Creditinstitutions?Bankinggroups?
• Number,size,country...
• TellusmoreaboutGHGemissionsmeasurement:
• Self-reportedvsvendor’sestimated?Cf.Aswani,Raghunandan, Rajgopal(RoF,2023):noevidenceof“carbonpremium”onstocks usingreportedemissionsonly.
• MandatorydisclosureofcarbonemissionsnotharmonizedwithinEA. CSRDentersintoforcefromFY2024on.
• Dualobjectivequiteobviousfromstart:bettersticktoTinbergen’s ruleofresearchwriting.
• Enrichtheevidenceonbank’spricingofclimaterisk:
• Anacreditincludesalltypesoffirms(private,SMEs):explore heterogeneityincarbonpricing,usinge.g.country-sector-levelCI whenfirm-levelCInotavailable(M´esonnier,2021).
• Howdiditchangeovertime:CSregressionsbyquarteroryear
• Banks’awarenesslikelyaffectedbyECBclimatestresstests:DinD setup+possibleusefuldiscontinuities
• LeaveMPtransmissionandrisk-takingstoryforanotherpaper(or dropit)
• Storyunclear:whywouldtransitionriskmaterializemoreinMP tightening/slowdownperiods(cf.currentbacklashongreenpolicies inEU).
• Noclearparallelwithfinancialacceleratormechanism.
• Estimatedeffectistiny.
• Comparisonwithevidencebasedonstockreturns:noriskpricingof carbonintensities(BoltonandKacperczyk,2021,Aswanietal., 2023)
• Roleofcountry’svalues:cf.,e.g.,GibsonBrandon,Glossner, Krueger,Matos,Steffen(2022),Dyck,Lins,Roth,Wagner(2019).
• Missingreference:Chava(MS,2014).