This special feature discusses the channels through which climate change can affect financial
stability and illustrates the exposure of euro area financial institutions to risks from climate …

This paper explores how the need to transition to a low-carbon economy influences firm
credit risk. It develops a novel dataset which augments data on firms’ green-house gas …

The ECB has been intensifying its quantitative work aimed at capturing climate-related risks
to financial stability. This includes estimating financial system exposures to climate-related …

This paper presents an approach to a macroprudential stress test for the euro area banking
system, comprising the 91 largest euro area credit institutions across 19 countries. The …

The financing structure of the euro area economy has evolved since the global financial crisis
with non-bank financial intermediation taking a more prominent role. This shift affects the …

The main objective in index tracking is to replicate the performance of a target index by
using a small subset of its constituents. Non-convex regularization techniques, such as the $$\ell …

… a total of M = 103 windows and n os = 513 daily out-of-sample returns. For each window (
m = 1 , … , M ), we set y m to be a vector of 250 in-sample index returns and y m equal to the …

We examine the transmission of monetary policy via the euro area investment fund sector
using a BVAR framework. We find that expansionary shocks are associated with net inflows …

… As a result, all securities with the same residual maturity m in our sample are assigned the
… The yield-to-maturity is assigned to each security i with residual maturity m at time t. We then …

The ECB is continuing its work on incorporating climate-related risks into assessments of
financial stability. This includes a new analysis of disclosure, pricing and greenwashing risks in …