Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w22795 |
来源ID | Working 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 |
URL | https://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 |
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。