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气候变化与长期贴现率:来自房地产的证据

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Climate Change and Long-Run Discount Rates: Evidence from Real Estate


Stefano W. Giglio 


University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Matteo Maggiori 


Harvard University; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Johannes Stroebel 


New York University (NYU); National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Andreas Weber 


New York University (NYU), Leonard N. Stern School of Business, Students

November 2015
 


Abstract:      

The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment’s uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits accrue and the riskiness of the investment. In this paper, we estimate the term structure of discount rates for an important risky asset class, real estate, up to the very long horizons relevant for investments in climate change abatement. We show that this term structure is steeply downward-sloping, reaching 2.6% at horizons beyond 100 years. We explore the implications of these new data within both a general asset pricing framework that decomposes risks and returns by horizon and a structural model calibrated to match a variety of asset classes. Our analysis demonstrates that applying average rates of return that are observed for traded assets to investments in climate change abatement is misleading. We also show that the discount rates for investments in climate change abatement that reduce aggregate risk, as in disaster risk models, are bounded above by our estimated term structure for risky housing, and should be below 2.6% for long-run benefits. This upper bound rules out many discount rates suggested in the literature and used by policy makers. Our framework also distinguishes between the various mechanisms the environmental literature has proposed for generating downward-sloping discount rates.

 

Number of Pages in PDF File: 80

Keywords: Climate Change, Discount Rate, Real Estate

 
 

 

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