| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w17575
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| 来源ID | Working Paper 17575
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| Temperature, Aggregate Risk, and Expected Returns |
| Ravi Bansal; Marcelo Ochoa
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| 发表日期 | 2011-11-03
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| 出版年 | 2011
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| 语种 | 英语
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| 摘要 | In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences in temperature betas mirror exposures to aggregate growth rate risk, which we show is negatively impacted by temperature shocks. That is, portfolios with larger exposure to risk from aggregate growth also have larger temperature betas; hence, a larger risk premium. We further show that increases in global temperature have a negative impact on economic growth in countries closer to the Equator, while its impact is negligible in countries at high latitudes. Consistent with this evidence, we show that there is a parallel between a country's distance to the Equator and the economy's dependence on climate sensitive sectors; in countries closer to the Equator industries with a high exposure to temperature are more prevalent. We provide a Long-Run Risks based model that quantitatively accounts for cross-sectional differences in temperature betas, its link to expected returns, and the connection between aggregate growth and temperature risks. |
| 主题 | Macroeconomics
; Financial Economics
; Portfolio Selection and Asset Pricing
; Environmental and Resource Economics
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| URL | https://www.nber.org/papers/w17575
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575249
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推荐引用方式
GB/T 7714 |
Ravi Bansal,Marcelo Ochoa. Temperature, Aggregate Risk, and Expected Returns. 2011.
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文件名：
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w17575.pdf
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格式：
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Adobe PDF
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