2025-06-02-欧洲央行-定价还是恐慌_商业房地产市场与气候变化（英）_41页_3mb

Summary

This paper examines climate risk pricing in euro area commercial real estate (CRE) markets, focusing on the largest segment—the office market. The study covers exposure to physical climate risks (e.g., floods, heat stress) and transition climate risks (e.g., energy efficiency concerns).

Physical Risks:

• Evidence: Investors apply a price penalty to buildings exposed to physical climate risks, with the penalty increasing significantly since 2007. By 2022, the discount for high-risk buildings rose by 24 percentage points (pps) compared to 2007. Physical risk penalties emerged before the Paris Agreement, reflecting gradual market adaptation.
• Geographic Variation: High exposure is concentrated in Southern Europe (e.g., Greece), while Northern Europe shows lower risks. Greece, for instance, saw buildings classified as having medium risk on average.
• Market Functioning: The increase in pricing occurred orderly, without significant disruptions to liquidity or impeding market sales for high-risk buildings. This suggests a gradual, market-driven adjustment to climate risks, reducing the likelihood of disorderly transitions that could trigger financial instability.

Transition Risks:

• Evidence: While pricing for transition risks has increased, it has recently shifted toward affecting liquidity rather than prices. Older buildings (typically less energy-efficient) face declining market activity (e.g., share of transactions for buildings older than 5 years rose from 2018 onwards), indicating growing concerns about "stranded assets."
• Economic Divergence: Younger buildings command higher premiums (up to an 18 pps increase by 2023), reflecting market preferences for energy-efficient assets. This aligns with stricter climate regulations but differs by risk type; for instance, discount increases were stronger for climate-related risks (e.g., heat stress) versus non-climate risks (e.g., earthquake risk).

Policy Implications:

• Macroprudential Tools: Authorities should consider tools to enhance financial system resilience against climate risks, mitigating their economic impacts.
• Data Gaps: Addressing data deficiencies, particularly for energy efficiency ratings, is crucial for accurate risk assessment and market monitoring in CRE and across Europe.

Limitations and Key Insights:

• The transition risk penalty recently intensified through liquidity channels, contravening the gradual adjustment principle emphasized in climate finance discourse.
• Market activity data shows younger assets dominate transactions in 2023, potentially hindering the sale of older assets, especially in the context of monetary policy tightening.

This study provides a foundational analysis for further research into market adaptation and adequate risk pricing, stressing the need for refined data and enduring policy collaboration to manage climate-related financial risks.