全球智库信息集成服务系统(G2TT): DP10958 Climate Change and Long-Run Discount Rates: Evidence from Real Estate

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10958
	DP10958 Climate Change and Long-Run Discount Rates: Evidence from Real Estate
	Stefano Giglio; Johannes Ströbel; Matteo Maggiori; Andreas Weber
发表日期	2015-11-29
出版年	2015
语种	英语
摘要	The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment?s uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits accrue and the riskiness of the investment. In this paper, we estimate the term structure of discount rates for an important risky asset class, real estate, up to the very long horizons relevant for investments in climate change abatement. We show that this term structure is steeply downward-sloping, reaching 2.6% at horizons beyond 100 years. We explore the implications of these new data within both a general asset pricing framework that decomposes risks and returns by horizon and a structural model calibrated to match a variety of asset classes. Our analysis demonstrates that applying average rates of return that are observed for traded assets to investments in climate change abatement is misleading. We also show that the discount rates for investments in climate change abatement that reduce aggregate risk, as in disaster-risk models, are bounded above by our estimated term structure for risky housing, and should be below 2.6% for long-run benefits. This upper bound rules out many discount rates suggested in the literature and used by policymakers. Our framework also distinguishes between the various mechanisms the environmental literature has proposed for generating downward-sloping discount rates.
主题	Financial Economics ; Monetary Economics and Fluctuations ; Macroeconomics and Growth ; Public Economics
关键词	Asset pricing Climate change Cost-benefit analysis Declining discount rates Environmental economics Real estate
URL	https://cepr.org/publications/dp10958
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539787
推荐引用方式 GB/T 7714	Stefano Giglio,Johannes Ströbel,Matteo Maggiori,et al. DP10958 Climate Change and Long-Run Discount Rates: Evidence from Real Estate. 2015.