Climate Change and Long-Run Discount Rates: Evidence from Real Estate

• 成果类型: Article
• 署名作者: Giglio, Stefano; Maggiori, Matteo; Rao, Krishna; Stroebel, Johannes; Weber, Andreas
• 署名单位: Yale University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Stanford University; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab032
• 发表日期: 2021
• 页码: 3527
• 关键词: social cost; RISK; prices; consumption; carbon; crises; fluctuations; adaptation; disasters; mortality

摘要

We show that housing markets provide information about the appropriate discount rates for valuing investments in climate change abatement. Real estate is exposed to both consumption and climate risk and its term structure of discount rates is downward sloping, reaching 2.6% for payoffs beyond 100 years. We use a tractable asset pricing model that incorporates features of climate change to show that the term structure of discount rates for climate-hedging investments is thus upward sloping but bounded above by the risk-free rate. At horizons at which risk-free rates are unavailable, the estimated housing discount rates provide an upper bound.