资产定价与脱碳：多元化与气候行动

Asset Pricing and Decarbonization:Diversification versus Climate Action

作者：

里克·范德·普洛格（Rick Van der Ploeg）

克里斯多夫·汉贝尔（Christoph Hambel）

霍尔格·卡夫（Holger Kraft）

Asset pricing and climate policy are analyzed in a global economywhere consumption goods are produced by both a green and a carbon-intensive(dirty) sector. We allow for endogenous growth and three types of damages fromglobal warming. It is shown that, initially, the desire to diversify assets in theportfolio complements the attempt to mitigate economic damages from climatechange. In the long run, however, there is a trade-off between diversification andclimate action. Therefore, in general, the carbon-intensive sector is not shut downcompletely. We derive the optimal carbon price, the equilibrium risk-free rate,and the risk premium of both assets. The risk-free rate is negatively affected bytemperature, while the effect of temperature on the risk premiums depends on thetype of damage specification. Climate disasters with an uncertain timing that riseswith on temperature leads to a significant effect of climate change on asset prices.
在全球经济中分析了资产定价和气候政策，其中绿色和碳密集型（脏）部门生产消费品。我们考虑到内生性增长和全球变暖带来的三种损害。结果表明，最初，使投资组合中的资产多样化的愿望补充了减轻气候变化造成的经济损失的尝试。但是，从长远来看，需要在多样化与气候行动之间进行权衡。因此，总体而言，碳密集型行业并未完全关闭。我们得出最优的碳价格，均衡的无风险利率和两种资产的风险溢价。无风险利率受温度的负面影响，而温度对风险溢价的影响取决于损害说明的类型。