G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w22795
来源IDWorking Paper 22795
Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
Kent D. Daniel; Robert B. Litterman; Gernot Wagner
发表日期2016-11-07
出版年2016
语种英语
摘要Pricing greenhouse gas emissions involves making trade-offs between consumption today and unknown damages in the (distant) future. This setup calls for an optimal control model to determine the carbon dioxide (CO2) price. It also relies on society’s willingness to substitute consumption across time and across uncertain states of nature, the forte of Epstein-Zin preference specifications.
We develop the EZ-Climate model, a simple discrete-time optimization model in which uncertainty about the effect of CO2 emissions on global temperature and on eventual damages is gradually resolved over time. We embed a number of features including potential tail risk, exogenous and endogenous technological change, and backstop technologies.
The EZ-Climate model suggests a high optimal carbon price today that is expected to decline over time as uncertainty about the damages is resolved. It also points to the importance of backstop technologies and to very large deadweight costs of delay. We decompose the optimal carbon price into two components: expected discounted damages and the risk premium.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Environmental and Resource Economics ; Environment
URLhttps://www.nber.org/papers/w22795
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/580469
推荐引用方式
GB/T 7714
Kent D. Daniel,Robert B. Litterman,Gernot Wagner. Applying Asset Pricing Theory to Calibrate the Price of Climate Risk. 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
w22795.pdf(1530KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Kent D. Daniel]的文章
[Robert B. Litterman]的文章
[Gernot Wagner]的文章
百度学术
百度学术中相似的文章
[Kent D. Daniel]的文章
[Robert B. Litterman]的文章
[Gernot Wagner]的文章
必应学术
必应学术中相似的文章
[Kent D. Daniel]的文章
[Robert B. Litterman]的文章
[Gernot Wagner]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w22795.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。