Riscaldamento globale, stabilità finanziaria e prezzi azionari : report del Fondo Monetario Internazionale

Il Fondo Monetario Internazionale (IMF) ha fatto uscire in aprile 2020 un interessante Global Financial Stability Report: Markets in the Time of COVID-19.

Qui interessa riferire del chapter 5  Climate Change: Physical Risk and Equity Prices .

Qui si leggono considerazioni interessanti sul fatto sia che le imprese e gli analisti hanno tenuto in scarsa considerazione i rischi da cambiamentoclimatico, sia che invece dovrebbero farlo (o avrebbero dovuto farlo). Ci sono anche indicazioni metodologiche allo scopo.

Il climate change può influire sulla stabilità finanziaria in due modi:

<<First, a climatic hazard can turn into a disaster if it happens in an area where the exposure is large and vulnerability is high. Such a disaster affects households, nonfinancial firms, and the government sector through the loss of physical and human capital, thereby causing economic disruptions that can possibly be significant. Financial sector firms are exposed to these shocks through their underwriting activity (insurers), lending activity (mostly banks), and the portfolio holdings of affected securities (all financial firms). Financial institutions could also be exposed to operational risk (such as in cases in which their structures, systems, and personnel are directly affected by an event) or to liquidity risk (such as if a disaster triggers sizable withdrawal of customer deposits). Insurers play a special role in absorbing shocks. The provision of insurance concentrates the impact of the shock on the insurance sector and reduces the impact on other economic agents.3 Governments also generally play an important cushioning role by providing some forms of insurance, as well as relief and support in the aftermath of a disaster. The strain on government balance sheets after a disaster could potentially have financial stability implications given the strong sovereign-bank nexus in many economies.

Second, investors form beliefs about physical risk—the result of a combination of climatic hazards, exposures, and vulnerabilities—as well as insurance coverage (and risk sharing more broadly, including through the government) at various time horizons in the future. Standard asset pricing theory suggests that investors should demand a premium for holding assets exposed to a future increase in physical risk induced by climate change. In other words, these assets should have a lower price compared with assets with similar characteristics but not exposed to this change in physical risk. However, because the nature of the risk is long term, and depends on complex interactions between climate variables and socioeconomic developments that are difficult to model, markets may not price future physical risk correctly, potentially leading to capital misallocation and economic inefficiency. Perhaps more important from a financial stability perspective, a sudden shift in investors’ perception of this future risk could lead to a drop in asset values, generating a ripple effect on investor portfolios and financial institutions’ balance sheets>>, p. 86/7

I risultati dell’indagine son così riassunti:

<< Climate change is a source of financial risk for investors that could lead to adverse consequences for financial stability. However, over the past several decades, the reactions of aggregate equity prices, bank equity prices, and insurance equity prices to large climatic disasters have generally been modest, in particular in economies with high rates of insurance penetration and sovereign financial strength. Pricing future climate risks is extremely challenging, given the large uncertainties around climate science projections and the economic cost of predicted hazards. However,  current economy-level equity valuations as of 2019 are generally not statistically significantly associated with the currently available proxies of future changes in physical risk. Furthermore, equity investors do not seem to have paid full attention to temperature, which could suggest that they do not pay full attention to climate change either. The analysis implies that, in the current baseline scenario, in which climate change mitigation policies are projected to remain weak globally, domestic financial stability will be best protected if governments preserve or enhance their financial strength, reduce barriers to non–life insurance penetration while ensuring adequate capital in the insurance sector, and encourage adaptation. Soberingly, preserving or enhancing financial strength appears challenging as public debt ratios continue to increase (see Chapter 1). In addition, better measurement and increased disclosure of exposure and vulnerability to climatic hazards would help reduce investors’ informational challenges and facilitate risk pricing>>, p. 88.

Si v. infine il § Equity Pricing of Future Climate Change Physical Risk sui metodi di pricing, p. 93 ss