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来源类型 | FEEM working papers "Note di lavoro" series |
规范类型 | 论文 |
Some Financial Implications of Global Warming: an Empirical Assessment | |
Claudio Morana; Giacomo Sbrana | |
发表日期 | 2018 |
出处 | Climate and Sustainable Innovation |
出版年 | 2018 |
语种 | 英语 |
摘要 | Concurrent with the rapid development of the market for catastrophe (cat) bonds, a steady decline in their risk premia has been observed. Whether the latter trend is consistent with the evolution of natural disasters risk is an open question. Indeed, a large share of outstanding risk capital in the cat bonds market appears to be exposed to some climate change-related risk as, for instance, hurricane risk, which global warming is expected to enhance. This paper addresses the above issue by assessing the global warming evidence, its implications for the natural environment and the drivers of cat bonds risk premia. We find that radiative forcing, i.e. the net insolation absorbed by the Earth, drives the warming trend in temperature anomalies and the trend evolution of natural phenomena, such as ENSO and Atlantic hurricanes, enhancing their disruptive effects. Hence, in the light of the ongoing contributions of human activity to radiative forcing, i.e., greenhouse gases emissions, natural disasters risk appears to be on a raising trend. Yet, the latter does not appear to have been accurately priced in the cat bonds market so far. In fact, while we find that the falling trend in cat bonds multiples is accounted by the expansionary monetary stance pursued by the Fed, we do also find evidence of significant undervaluation of natural disasters risk. *** Suggested citation: Morana, C, G. Sbrana, (2018), 'Quantifying Non-cooperative Climate Engineering', Nota di Lavoro 1.2018, Milano, Italy: Fondazione Eni Enrico Mattei |
特色分类 | G11;G23;C32 |
关键词 | Cat Bonds Risk Premia/Multiples Temperature Anomalies Global Warming Radiative Forcing ENSO El Niño Atlantic Hurricanes Dynamic Conditional Correlation Model |
URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/some-financial-implications-of-global-warming-an-empirical-assessment/ |
来源智库 | Fondazione Eni Enrico Mattei (Italy) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118575 |
推荐引用方式 GB/T 7714 | Claudio Morana,Giacomo Sbrana. Some Financial Implications of Global Warming: an Empirical Assessment. 2018. |
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cover-front19.jpg(82KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
ndl2018-001.pdf(1055KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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