Bundesbank study finds ECB climate stress test shifted bank lending, not loan pricing
A Bundesbank discussion paper examines whether the ECB's 2021-22 climate stress test changed how euro area banks price loans to carbon-intensive borrowers. Using loan-level AnaCredit data and a difference-in-differences design, the authors separate portfolio reallocation from within-relationship repricing. The findings matter for supervisors assessing whether stress tests alone can steer credit allocation toward the low-carbon transition.
- The ECB's first EU-wide climate stress test ran in 2021-22 and is the subject of this Bundesbank Discussion Paper 33/2026, published 20 October 2026.
- On average the CST did not significantly change the sensitivity of loan spreads to borrower carbon intensity, with the post-CST shift statistically indistinguishable from zero.
- Treated banks charged about 10 basis points more on new loans to borrowers for each one standard-deviation increase in carbon intensity, compared to incumbent borrowers.
- Treated banks reallocated credit away from the most carbon-intensive incumbent borrowers, reducing these firms' share of new lending.
- Banks in the more demanding bottom-up module of the CST showed no stronger carbon-sensitive pricing response than those in lighter modules.