ABSTRACT

Financial institutions, including pension funds and insurance companies, are key investors in financial markets and important providers of funding to companies. Their investment decisions can steer the transition towards a more sustainable economy and can ensure that sufficient capital is made available for the investments needed to achieve the goals of the Paris Agreement. The development of robust carbon disclosure metrics is key to measuring the sustainability of these institutions’ investment portfolios. However, common carbon disclosure metrics are unreliable, since they are prone to macroeconomic effects, such as inflation and exchange rate fluctuations. This becomes relevant when one wants to consider the change in these metrics over time. In this study, we show that when the metrics are adjusted for inflation and exchange rate fluctuations, one can observe the real sustainability improvement over time. We find that sustainability improvements based on existing metrics are notably one-quarter to one-third smaller when adjusted for these effects. Hence, more than one-quarter of the observed ‘greening’ is ‘non-real’; rather it is a consequence of macroeconomic fluctuations. We propose an adjusted metric that is robust to such fluctuations and illustrate its use in evaluating pension and insurance sector investments. Various international organizations, such as the Network of Central Banks and Supervisors for Greening the Financial System (NGFS) and the Task Force for Climate-Related Financial Disclosures (TCFD), are working together to create harmonized climate-related disclosure frameworks. This study aims to contribute to the ongoing work on carbon disclosure by identifying and solving methodological issues that are currently hampering the potential of carbon disclosure metrics, such as Weighted Average Carbon Intensity (WACI).

Key policy insights

• Although carbon disclosure metrics are currently recommended in international reporting standards, presently there is no commonly agreed set of metrics in place.

• Adjusting relative carbon disclosure metrics for inflation and exchange rate fluctuations makes a significant difference to the level and dynamics of these metrics over time.

• Adjusting carbon disclosure metrics for inflation and exchange rate effects contributes to establishing a harmonized global framework, which can help steer the transition towards a more sustainable economy and can ensure that sufficient capital is made available for the investments needed to achieve the goals of the Paris Agreement.

摘要

包括养老基金和保险公司在内的金融机构是金融市场的主要投资者，也是公司资金的重要提供者。他们的投资决策可以引导经济向更可持续的经济转型，并确保为实现《巴黎协定》目标所需的投资提供足够的资金。制定稳健的碳披露指标是衡量这些机构投资组合可持续性的关键。然而，常见的碳披露指标并不可靠，因为它们容易受到宏观经济影响，例如通货膨胀和汇率波动。当人们想要考虑这些指标随时间的变化时，这一点就变得相关了。在这项研究中，我们表明，当指标针对通货膨胀和汇率波动进行调整时，真实的随着时间的推移，可持续性得到改善。我们发现，在针对这些影响进行调整后，基于现有指标的可持续性改进明显小了四分之一到三分之一。因此，超过四分之一的观察到的“绿化”是“非真实的”；相反，这是宏观经济波动的结果。我们提出了一个对此类波动具有稳健性的调整指标，并说明了其在评估养老金和保险业投资中的用途。各种国际组织，如绿色金融体系中央银行和监管机构网络 (NGFS) 和气候相关金融信息披露工作组 (TCFD)，正在共同努力创建协调一致的气候相关信息披露框架。

主要政策见解

• 尽管目前在国际报告标准中推荐了碳披露指标，但目前还没有一套公认的指标。

• 调整通货膨胀和汇率波动的相对碳披露指标会对这些指标的水平和动态产生重大影响。

• 针对通货膨胀和汇率影响调整碳披露指标有助于建立一个协调一致的全球框架，这有助于引导向更可持续的经济转型，并确保为实现《巴黎协定》目标所需的投资提供足够的资本.