Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
提出了首个自上而下的方法，同时估计金融投资组合的绿色程度（与欧盟可持续活动分类法对齐）和气候转型风险暴露，并基于2022年欧元区投资者数据发现绿色程度普遍低于转型风险暴露。
We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level, standardized and transparent coefficients for both estimates, based on definitions of greenness and transition risk that are applicable across countries. We analyse the portfolios of Euro Area investors in 2022, based on the confidential Securities Holdings Statistics of the European Central Bank. We find that, overall, the greenness of Euro Area investors’ portfolios is lower than their exposure to transition risk (2.8% vs. 11.7%). Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 3.2% and 12% for investment funds, at 0.8% and 5% for banks and at 4.8% and 15.1% for insurers. Our analysis also shows that investors with large amounts invested in green activities can have at the same time large exposures to transition risk.