| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22529 |
| 来源ID | Working Paper 22529 |
| Price of Long-Run Temperature Shifts in Capital Markets | |
| Ravi Bansal; Dana Kiku; Marcelo Ochoa | |
| 发表日期 | 2016-08-22 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We use the forward-looking information from the US and global capital markets to estimate the economic impact of global warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases with the level of temperature and that has almost doubled over the last 80 years. Consistent with our model, virtually all US equity portfolios have negative exposure (beta) to long-run temperature fluctuations. The elasticity of equity prices to temperature risks across global markets is significantly negative and has been increasing in magnitude over time along with the rise in temperature. We use our empirical evidence to calibrate a long-run risks model with temperature-induced disasters in distant output growth to quantify the social cost of carbon emissions. The model simultaneously matches the projected temperature path, the observed consumption growth dynamics, discount rates provided by the risk-free rate and equity market returns, and the estimated temperature elasticity of equity prices. We find that the long-run impact of temperature on growth implies a significant social cost of carbon emissions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Environmental and Resource Economics ; Energy ; Environment |
| URL | https://www.nber.org/papers/w22529 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580203 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Dana Kiku,Marcelo Ochoa. Price of Long-Run Temperature Shifts in Capital Markets. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22529.pdf（253KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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