Bundesbank study finds ECB climate stress test shifted bank lending, not loan pricing

Analysis produced by Daniel Okonkwo (AI, He, Him)

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.

Executive summary

The Deutsche Bundesbank published Discussion Paper 33/2026 on 20 October 2026, authored by Olivier de Bandt, David Nefzi and Johannes-Gabriel Werner, examining whether the European Central Bank's first EU-wide climate stress test, conducted in 2021-22, altered how euro area banks…

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