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通过理性泡模型预测气候变化的股票市场影响
1Centre for Mathematical Sciences, School of Natural Sciences, University of Hull, East Yorkshire, UK.
概括
全球股票市场面临着气温上升带来的重大风险,潜在的损失将超过2°C升温. 气候变化风险在一些市场上有价格,但不是所有市场,影响投资策略.
科学领域:
- 环境经济学环境经济学
- 气候融资就是气候融资.
- 金融计量经济学 金融计量经济学
背景情况:
- 全球股市越来越容易受到气候变化风险的影响.
- 现有的模型往往无法捕捉气候相关"黑天"事件的不可预测性.
- 全球气温上升,二氧化碳水平和市场波动之间的关系需要进一步量化.
研究的目的:
- 开发一个合理的泡模型来量化全球股票市场对未来温度上升的敏感性.
- 将不可预测的"黑天"事件时间和随着全球气温升高的价格风险纳入其中.
- 提供一种替代模型,将气候风险与大气中的二氧化碳水平联系起来,并估计国家一级的影响.
主要方法:
- 开发一个合理的泡模型,整合温度依赖的价格风险和"黑天"事件的不确定性.
- 指定一种替代模型,将气候风险与大气二氧化碳 (CO2) 度联系起来.
- 估计在各种全球气温上升场景下,股票市场的风险和潜在损失.
主要成果:
- 气温上升最初会使股价膨胀,使波动率下降,这表明碳相关风险的价格被低估.
- 当全球气温超过工业化前水平的2°C时,显著的市场影响就会出现.
- 气候变化风险在七国集团 (G7) 股票市场中部分被定价,但在较小的市场中基本被忽视.
结论:
- 开发的模型提供了一个透明和简单的框架,用于评估国家一级的股票市场对气候变化的暴露.
- 该研究强调了全球变暖对金融市场的巨大潜在经济影响.
- 迫切需要注意准确地定价与气候有关的金融风险,特别是在较小,较不发达的市场.
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