利率
气候变化
风险溢价
经济
文件夹
资本资产定价模型
资产(计算机安全)
气候风险
金融市场
金融危机
金融经济学
货币经济学
财务
宏观经济学
生物
计算机科学
计算机安全
生态学
作者
Christos Karydas,Anastasios Xepapadeas
标识
DOI:10.1016/j.jfs.2022.101061
摘要
In addition to tail macroeconomic events (e.g. wars, financial crises and pandemics), climate change poses a threat to financial stability — with extreme climatic events increasing in frequency and intensity and policy risks putting pressure on asset valuations. We study the effect of a changing climate on asset prices and interest rates through the lens of a dynamic CAPM with rare disasters, time-varying risk and recursive preferences. In our model, a changing climate makes tail events more frequent and less predictable, increasing the premium of climate risk; interestingly, this change may not be fully reflected in the overall market risk premium that includes both components of risk: macroeconomic and environmental. Our results also support the hypothesis of a declining real rate of interest as the planet warms, while the increasing risk of climate policy reduces the participation of brown assets in the market portfolio.
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