Policy transition risk, carbon premiums, and asset prices

• 成果类型: Article
• 署名作者: Hambel, Christoph; van der Ploeg, Frederick
• 署名单位: Tilburg University; Tilburg University; University of Oxford; University of Amsterdam; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103780
• 发表日期: 2025
• 关键词: Carbon premium; green transition; Policy transition risks; Physical risks

摘要

We analyze the effects of policy transition risk on asset pricing and the green transition using a global two-sector, macro-finance model of climate and the economy. Policy transition risk results from probabilistic changes between three policy states: no, modest, and ambitious carbon pricing. We show that policy transition risk leads to carbon premiums (i.e. higher expected returns on brown than on green assets), especially if the economy is still quite carbon-intensive and close to the temperature cap, and thus accelerate the green transition. Increased transition risk leads to more precautionary saving and falls in the risk-free rate. We offer extensions to deal with physical risks (temperature-related risk of climate disasters and climate tipping), technology transition risk, and more realistic policy tipping with endogenous transition probabilities.