Climate Finance: What Is the Impact of ClimateChange on Asset Prices?

气候金融：气候变化对资产价格有何影响？

• 批准号: 416567127
• 负责人: Professor Dr. Holger Kraft
• 金额: --
• 依托单位: Abteilung Finanzen
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2018
• 资助国家: 德国
• 起止时间: 2017-12-31 至 2021-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/416567127?language=en
• 关键词: Climate; Finance; What; Impact; ClimateChange

The impact of higher temperatures on the real economy can potentially be disastrous and has intensively been analyzed in so-called integrated assessment models (IAMs). So far, however, there is little research studying the impact of climate change on financial markets. The existing literature in this area does not attempt to simultaneously explain the relevant stylized facts in asset pricing (e.g., high equity premium, low risk-free rate, counter-cyclical Sharpe ratio) and the inaction of mankind when it comes to dealing with climate change (e.g., the issues with implementing the Paris agreement and the unwillingness of some world leaders to accept it). If a model cannot rationalize both issues at the same time, it is questionable whether meaningful predictions about the effect of climate change on asset prices can be made. A potential impact of climate change on asset prices can however be devastating since modern economies are highly reliable on well functioning asset markets. Our project intends to fill this gap. We plan to build a framework where inaction with respect to climate change can be a rational outcome resulting from coordination problems. At the same time we will be able to explain major stylized facts of the asset pricing literature. The starting point of our research is a long-run risk model where the representative agent can control its carbon dioxide emissions at some costs. The representative agent plays the role of a central planner who globally decides upon which abatement actions are to be implemented. This model serves as a benchmark where coordination problems are disregarded. In reality, there are however severe problems of this kind. An example is the current situation where some world leaders threaten to leave the Paris agreement. Therefore, it is crucial to explicitly model these coordination problems that can occur within a country (e.g., households vs. firms) or across countries (e.g., rich vs. poor countries). These problems make it very hard in practice to implement stringent policies against climate change. Consequently, we want to develop and solve tractable models involving endogenous climate change where several agents can actively take actions against global warming. Since every agent benefits from the actions of all other agents, there are potentially severe free-rider problems. Our models shall be able to explain weak climate policies, but also rationalize observed asset prices. We will also be able to make predictions about the influence of climate change on asset prices and conjecture what happens to real interest rates and equity returns if mankind implements more or less stringent policies against climate change. Taking into account the heterogeneous distribution of climate effects across countries, the potential implications can then be studied for different countries that are more or less affected by higher temperatures.

温度升高对真实的经济的影响可能是灾难性的，并在所谓的综合评估模型（IAM）中进行了深入分析。然而，到目前为止，几乎没有研究气候变化对金融市场的影响。这一领域的现有文献并不试图同时解释资产定价中的相关程式化事实（例如，高股权溢价、低无风险利率、反周期夏普比率）以及人类在应对气候变化方面的不作为（例如，执行巴黎协定的问题以及一些世界领导人不愿意接受它）。如果一个模型不能同时合理化这两个问题，那么是否能对气候变化对资产价格的影响做出有意义的预测就值得怀疑了。然而，气候变化对资产价格的潜在影响可能是毁灭性的，因为现代经济体高度依赖运作良好的资产市场。我们的项目旨在填补这一空白。我们计划建立一个框架，在这个框架中，对气候变化不采取行动可能是协调问题造成的合理结果。与此同时，我们将能够解释资产定价文献的主要程式化事实。我们研究的出发点是一个长期风险模型，其中代表性代理可以以一定的成本控制其二氧化碳排放量。代表代理人扮演着一个中央计划者的角色，他在全球范围内决定要实施哪些减排行动。该模型可作为忽略协调问题的基准。但实际上，这类问题十分严重。一个例子是目前的情况，一些世界领导人威胁要离开巴黎协定。因此，必须明确地对一个国家内可能发生的这些协调问题进行建模（例如，家庭对公司）或跨国家（例如，富国与穷国）。这些问题使得在实践中很难实施针对气候变化的严格政策。因此，我们希望开发和解决涉及内生气候变化的易处理模型，其中几个代理人可以积极采取行动对抗全球变暖。由于每个代理人都从所有其他代理人的行为中受益，因此存在潜在的严重搭便车问题。我们的模型应该能够解释脆弱的气候政策，但也合理化观察到的资产价格。我们还将能够预测气候变化对资产价格的影响，并推测如果人类实施或多或少严厉的气候变化政策，真实的利率和股票回报会发生什么。考虑到气候效应在各国的不均匀分布，然后可以研究不同国家或多或少受到高温影响的潜在影响。