Climate Change Data Portal
Climate Finance: What Is the Impact of Climate Change on Asset Prices? | |
项目编号 | http://gepris.dfg.de/gepris/projekt/416567127 |
Professor Dr. HolgerKraft | |
项目主持机构 | Goethe-Universität Frankfurt am Main |
开始日期 | 2018 |
英文摘要 | Theimpactofhighertemperaturesontherealeconomycanpotentiallybedisastrousandhasintensivelybeenanalyzedinso-calledintegratedassessmentmodels(IAMs).Sofar,however,thereislittleresearchstudyingtheimpactofclimatechangeonfinancialmarkets.Theexistingliteratureinthisareadoesnotattempttosimultaneouslyexplaintherelevantstylizedfactsinassetpricing(e.g.,highequitypremium,lowrisk-freerate,counter-cyclicalSharperatio)andtheinactionofmankindwhenitcomestodealingwithclimatechange(e.g.,theissueswithimplementingtheParisagreementandtheunwillingnessofsomeworldleaderstoacceptit).Ifamodelcannotrationalizebothissuesatthesametime,itisquestionablewhethermeaningfulpredictionsabouttheeffectofclimatechangeonassetpricescanbemade.Apotentialimpactofclimatechangeonassetpricescanhoweverbedevastatingsincemoderneconomiesarehighlyreliableonwellfunctioningassetmarkets.Ourprojectintendstofillthisgap.Weplantobuildaframeworkwhereinactionwithrespecttoclimatechangecanbearationaloutcomeresultingfromcoordinationproblems.Atthesametimewewillbeabletoexplainmajorstylizedfactsoftheassetpricingliterature.Thestartingpointofourresearchisalong-runriskmodelwheretherepresentativeagentcancontrolitscarbondioxideemissionsatsomecosts.Therepresentativeagentplaystheroleofacentralplannerwhogloballydecidesuponwhichabatementactionsaretobeimplemented.Thismodelservesasabenchmarkwherecoordinationproblemsaredisregarded.Inreality,therearehoweversevereproblemsofthiskind.AnexampleisthecurrentsituationwheresomeworldleadersthreatentoleavetheParisagreement.Therefore,itiscrucialtoexplicitlymodelthesecoordinationproblemsthatcanoccurwithinacountry(e.g.,householdsvs.firms)oracrosscountries(e.g.,richvs.poorcountries).Theseproblemsmakeitveryhardinpracticetoimplementstringentpoliciesagainstclimatechange.Consequently,wewanttodevelopandsolvetractablemodelsinvolvingendogenousclimatechangewhereseveralagentscanactivelytakeactionsagainstglobalwarming.Sinceeveryagentbenefitsfromtheactionsofallotheragents,therearepotentiallyseverefree-riderproblems.Ourmodelsshallbeabletoexplainweakclimatepolicies,butalsorationalizeobservedassetprices.Wewillalsobeabletomakepredictionsabouttheinfluenceofclimatechangeonassetpricesandconjecturewhathappenstorealinterestratesandequityreturnsifmankindimplementsmoreorlessstringentpoliciesagainstclimatechange.Takingintoaccounttheheterogeneousdistributionofclimateeffectsacrosscountries,thepotentialimplicationscanthenbestudiedfordifferentcountriesthataremoreorlessaffectedbyhighertemperatures. |
学科分类 | 1502 - 经济学;15 - 社会科学与人文 |
资助机构 | DE-DFG |
项目类型 | Research Grants |
国家 | DE |
语种 | 英语 |
文献类型 | 项目 |
条目标识符 | http://gcip.llas.ac.cn/handle/2XKMVOVA/69383 |
推荐引用方式 GB/T 7714 | Professor Dr. HolgerKraft.Climate Finance: What Is the Impact of Climate Change on Asset Prices?.2018. |
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