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The social cost of carbon under climate volatility risk

Lin, Xu; Wijnbergen, Sweder van - 2023

future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic …

Persistent link: https://www.econbiz.de/10014290496

Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy

Agliardi, Elettra; Xepapadeas, Anastasios - In: Journal of economic dynamics & control 139 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013464797

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

Persistent link: https://www.econbiz.de/10009689360

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

Persistent link: https://www.econbiz.de/10013315817

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

Uncertainty in the analytic climate economy

Traeger, Christian - 2021

Persistent link: https://www.econbiz.de/10012502122

How volatile is ENSO for global greenhouse gas emissions and the global economy?

Lan Fen Chu; McAleer, Michael; Chen, Chi-chung - 2013

Persistent link: https://www.econbiz.de/10009724118

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

Persistent link: https://www.econbiz.de/10012181922

Heterogeneous impacts of multiple climate policies on the Chinese stock market

Chen, Deyang; Zeng, Zheyu; Chen, Yunyue - In: Finance research letters 60 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014490182

Climate uncertainty and green index volatility : empirical insights from Chinese financial markets

Zhao, Huirong; Luo, Na - In: Finance research letters 60 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014490216