ECB-绿色资产定价-78页.pdfVIP

WorkingPaperSeries

GhassaneBenmir,IvanJaccard,Greenassetpricing

GauthierVermandel

RevisedNovember2024

No2477/October2020

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

Thispaperdemonstratesthatempiricallygroundingthediscountfactorsignifi-

cantlyinfluencesthedeterminationofthecarbonprice.Usingtwocomplementary

nonlinearstatisticalapproaches,weassesswhichutilityformulationsandcorre-

spondingstochasticdiscountfactorsbestalignwithU.S.data.Weprovideevidence

thathabitformationisessentialforcapturingthetimevariationinthestochastic

discountfactornecessarytomatchthedata.Thisincreasedtimevariationraises

thecarbonpriceby32%andmakesitfivetimesmoreprocyclicalcomparedto

standardmodels.Theheightenedprocyclicalityreducesaggregaterisk,therisk

premium,andtheneedforprecautionarysavings.

Keywords:ClimateChange,OptimalPolicy,StochasticDiscountFactor,Eq-

uityPremiumPuzzle.

JEL:Q58,G12,E32.

ECBWorkingPaperSeriesNo24771

Non-technicalsummary

Thispaperinvestigateshowfinance,particularlythroughrealisticdiscountrates,

impactstheoptimalpriceofcarbon.The“socialcostofcarbon”(SCC)representsthe

presentvalueofthedamagecausedbyoneadditionaltonofcarbondioxideemittedtoday.

Thismeasurei