CNB WP 11/2026 – Drying Up: The Effect of Drought on Corporate Loans with AnaCredit Data

Jan Janků, Tomáš Karhánek, Simona Malovaná, Ivan Trubelík

This paper examines whether chronic physical climate risk affects corporate credit allocation. We focus on drought, one of the most salient climate-related risks for the Czech economy, and combine granular AnaCredit data with district-level measures of drought-related agricultural losses. Using almost 6 million bank–firm–month observations for nearly 140,000 firms between 2019 and 2023, we show that long-term drought exposure is associated with a significant contraction in new corporate lending. The effect is concentrated at the origination margin: newly originated credit declines by about 12 percent in drought-affected regions, while outstanding credit volumes adjust more gradually. The impact varies across bank–firm relationships, credit-exposure characteristics, and sectors, consistent with banks incorporating chronic physical climate risk primarily into new lending decisions rather than immediately reducing existing exposures.

JEL kódy: E51, G21, G32, Q54

Klíčová slova: Bank lending, Climate risk, Corporate credit, Drought, Loan origination, AnaCredit

Vydáno: červenec 2026

Ke stažení: CNB WP No. 11/2026 (pdf, 9 MB)