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Green asset pricing

hal.structure.identifierEuropean Central Bank [ECB]
dc.contributor.authorJaccard, Ivan
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorVermandel, Gauthier
hal.structure.identifierLondon School of Economics and Political Science [LSE]
dc.contributor.authorBenmir, Ghassane
dc.date.accessioned2022-01-04T15:18:08Z
dc.date.available2022-01-04T15:18:08Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22401
dc.language.isoenen
dc.subjectClimate Changeen
dc.subjectCompensation Effecten
dc.subjectBond Premium Puzzleen
dc.subjectNatural Rate of Interesten
dc.subjectOptimal Policyen
dc.subjectWelfareen
dc.subject.ddc339en
dc.subject.classificationjelQ58en
dc.subject.classificationjelG12en
dc.subject.classificationjelE32en
dc.titleGreen asset pricingen
dc.title.alternativeEvaluation verte du prix des actifs financiersen
dc.typeDocument de travail / Working paper
dc.description.abstractenClimate change is one of the greatest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly-debated in policy circles. This paper studies the design of a carbon tax when environmental factors, such as air carbon-dioxide emissions (CO2), directly affect agents’ marginal utility of consumption. Our first result is that the optimal tax is determined by the shadow price of CO2 emissions. We then use asset-pricing theory to estimate this implicit price in the data and find that the optimal tax is pro-cyclical. It is therefore optimal to use the carbon tax to “cool down” the economy during booms and stimulate it in recessions. The optimal policy not only generates large welfare gains, it also reduces risk premiums and raises the average risk-free real rate. The effect of the tax on asset prices and welfare critically depends on the emission-abatement technology.en
dc.publisher.nameEuropean Central Banken
dc.publisher.cityFrankfurt am Mainen
dc.identifier.citationpages59en
dc.relation.ispartofseriestitleEuropean Central Bank Working Papers Seriesen
dc.relation.ispartofseriesnumber2477 / October 2020en
dc.identifier.urlsitehttps://doi.org/10.2866/48941en
dc.subject.ddclabelMacroéconomieen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-12-13T16:51:15Z
hal.identifierhal-03510811
hal.version1
dc.subject.classificationjelHALQ.Q5.Q58en
dc.subject.classificationjelHALG.G1.G12en
dc.subject.classificationjelHALE.E3.E32en
hal.date.transferred2022-01-04T15:18:10Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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