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

气温升高对实体经济的影响可能是灾难性的，已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，很少有研究研究气候变化对金融市场的影响。这一领域的现有文献没有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)和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接受该协定)。如果一个模型不能同时将这两个问题合理化，那么能否对气候变化对资产价格的影响做出有意义的预测就成了疑问。然而，气候变化对资产价格的潜在影响可能是毁灭性的，因为现代经济高度依赖运转良好的资产市场。我们的项目打算填补这一空白。我们计划建立一个框架，在这个框架中，气候变化方面的不作为可能是协调问题导致的合理结果。同时，我们将能够解释资产定价文献中的主要风格化事实。我们研究的起点是一个长期风险模型，在该模型中，代表代理人可以以一定的成本控制其二氧化碳排放。代表代理人扮演着中央规划者的角色，他在全球范围内决定要实施哪些减排行动。这一模式作为一个基准，忽略了协调问题。然而，在现实中，存在着这种严重的问题。一个例子是目前的情况，一些世界领导人威胁要退出巴黎协议。因此，对可能发生在一国境内(例如，家庭与公司)或跨国(例如，富国与穷国)的这些协调问题进行明确建模至关重要。这些问题使应对气候变化的严格政策在实践中变得非常困难。因此，我们希望开发和解决涉及内生气候变化的可处理模型，在这些模型中，几个因素可以积极采取行动应对全球变暖。由于每个代理人都从所有其他代理人的行动中受益，因此潜在地存在严重的搭便车问题。我们的模型应该能够解释疲弱的气候政策，但也能使观察到的资产价格合理化。我们还将能够预测气候变化对资产价格的影响，并猜测如果人类针对气候变化实施或多或少严厉的政策，实际利率和股票回报会发生什么。考虑到气候效应在各国的异质性分布，可以研究其对不同国家的潜在影响，这些国家或多或少受到较高气温的影响。

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.