Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/250163 
Year of Publication: 
2021
Series/Report no.: 
JRC Working Papers in Economics and Finance No. 2021/14
Publisher: 
European Commission, Ispra
Abstract: 
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 2020, 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 (1.3% vs. 5.5%). Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 1.4% and 6.1% for investment funds, at 0.3% and 1.7% for banks and at 1.2% and 5.0% 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.
Subjects: 
greenness
climate transition risk
climate-related financial disclosures
EU Taxonomy
green financial flows
JEL: 
G2
G3
Q54
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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