宏观金融和行业洞察：亚美尼亚银行业的气候转型风险压力测试

Macro-Financial and Sectoral Insights APRIL 2026 Table of Contents AcknowledgementsAbbreviationsList of FiguresList of BoxesList of Tables45666 Executive summary7 1.Introduction10 2.Climate and financial sector context 2.1Climate context relevant for the climate transition risk stress test2.2Banking sector characteristics informing the climate transition 3.CTRST methodology and approach 3.1The CTRST framework3.2Climate transition scenarios3.3Macroeconomic model for assessing climate transition impact3.4Credit risk transmission satellite model 4.Macroeconomic and sectoral impacts of low-carbon 4.1Modelling findings under different scenarios4.2Macroeconomic impact of transition scenarios4.3Sectoral impacts of transition scenarios 5.The impact of transition scenarios on the banking sector5.1Mapping macro paths and sectoral shifts into credit outcomes5.2Factors which may impact modelling findings 6.Conclusions and policy implications Appendix A:Use of MFMod to capture energy transition dynamicsAppendix B:GTAP-based disaggregation of aggregate MFMod outputsAppendix C:Stress test frameworkAppendix D:Robustness check and dynamic balance sheet assumption Acknowledgements The report was developed jointly by the Central Bank of Armenia (CBA) The CBA team included Gayane Vardanyan, Henrik Manukyan, ArthurGrigoryan, Viktoria Alaverdyan, and Susanna Saroyan (Research Fellow,Oxford Martin School). The WB team included Milica Nikolic (team lead),Unnada Chewpreecha, Martin Hafner-Guth, and Mansi Panchamia. The WB team was supervised by Martha Martinez Licetti and CecileThioro Niang (Practice Managers, Finance, Competitiveness, andInnovation, Europe and Central Asia) and received strategic guidance The team would like to thank the following WB staff for their invaluablefeedback as peer reviewers: Patricia Caraballo (Senior Financial SectorEconomist), Sharon Kirenga Lwamafa (Financial Sector Specialist), IrinaGhaplanyan (Senior Climate Change Specialist) and Ou Nie (Senior This work is a product of the staff of the CBA and the WB. The findings,interpretations, and conclusions expressed in this assessment do not Abbreviations List of Figures List of Boxes List of Tables Executive summary This first-of-its-kind climate transition risk stress test (CTRST) in Armeniaconducted jointly by the Central Bank of Armenia (CBA) and the World Growing global interest in the financial stability implications of climate change has led manyauthorities to integrate climate-related risks into their traditional stress-testing frameworks.Beyond physical risks stemming from extreme weather events, such as floods and droughts,climate-related risks also arise from transition risks which are associated with the shift toward Sectoral transition risks highlight the need for stress testing the country’s banking portfolio. Beyond physicalrisks stemming fromextreme weatherevents, such as floodsand droughts, climate-related risks also arise In November2024, the CBA along with the German Sparkassenstiftungfor International Cooperation (DSIK), assessed sectoralclimate and ESG risks, including transition risk. Theanalysis shows that electricity, agriculture, transport,water, and construction face the highest transition risk;this becomes especially salient as these sectors also The CTRST examines transition risk only, tracing how 3 NDC-aligned scenarios (including tailrisk pathway) describing a move to a low-carbon economy could affect Armenian banking sector via credit risk.It models three climate transition pathways aiming to reach Armenia’s NationallyDetermined Contribution (NDC) by 2030, which are compared against the baseline scenario thatassumes no policy change: Orderly (gradual, predictable carbon pricing), Disorderly (delayedaction followed by a steeper tax), and Perverse Disorderly (delayed action and steep carbon pricingpolicy combined with weak interagency coordination that captures tail risk events), each assuming a The pathways modelled by the CTRST focus on the (most polluting) electricity sector, usingrelatively short, five-year 2025-2029 horizon scenarios that differ in the timing and stringency of carbon tax implementation.Using December 2024 data as the reference date, the exercisebegins from a position of strength with a sound and well-capitalized system with a CAR of 20.2percent, above the 15 (16.5 for systemic banks) percent overall capital requirement. Althougheasiest from the modeling perspective, the carbon tax used in this exercise is a proxy for any other The CTRST uses the following approach(Figure ES1) (see Section 3 for more detail): •The designed scenarios and the World Bank climate-enhanced macrostructural model(MFMod) are used to assess both aggregate and sectoral economic impacts under eachscenario. The three low-carbon climate policy-determined macroeconomic scenarios are •A Bayesian Additive Regression Trees (BART) model is employed as a satellite credit risk modelto assess how the aggre