ASSET DIVERSIFICATION VERSUS CLIMATE ACTION

• 成果类型: Article
• 署名作者: Hambel, Christoph; Kraft, Holger; van der Ploeg, Frederick
• 署名单位: Tilburg University; Goethe University Frankfurt; University of Oxford; Tilburg University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12691
• 发表日期: 2024
• 页码: 1323-1355
• 关键词: cumulative carbon emissions; rare disasters; temperature shocks; risk-aversion; social cost; GROWTH; uncertainty; POLICY; mitigation; RESOLUTION

摘要

Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive sector. Given that the economy is initially heavily dependent on carbon-intensive capital, the desire to diversify assets complements the attempt to mitigate economic damages from climate change. In the longer run, however, a trade-off between diversification and climate action emerges. We derive the optimal carbon price and the equilibrium risk-free rate, and risk premia. Climate disasters significantly decrease the risk-free rate but increase risk premia on financial assets, especially if no climate policy is implemented.