中文摘要
本文利用一个易于处理的随机综合评估模型,分析气候变化在不同时期与不同期限上对资产收益的影响。准解析(即递归)公式可用于对多种长期资产定价,包括固定收益产品、衍生品和股票。我们发现,气候风险将日益压低长期无风险收益率,到本世纪末使其下降约30个基点。这一下降反映了增长放缓与不确定性上升,从而导致预防性储蓄增加。我们通过考察易受海平面上升或气温影响的长期资产的模型隐含价格,来阐释气候风险溢价这一概念。气候风险溢价对损害假设尤为敏感。
Abstract
This paper uses a tractable stochastic integrated-assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi-analytical, or recursive, formulas allow to price various long-dated assets, including fixed-income products, derivatives, and equities. We find that climate risks will increasingly drive down long-term risk-free yields, reducing them by about 30 basis points by the end of the century. This decline reflects weaker growth and increased uncertainty, leading to a rise in precautionary savings. We illustrate the concept of climate risk premiums by examining model-implied prices of long-term assets vulnerable to sea level rise or temperatures. Climate risk premiums are particularly sensitive to damage assumptions.