| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13708 |
| DP13708 Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences | |
| Stan Olijslagers; Sweder van Wijnbergen | |
| 发表日期 | 2019-05-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We focus on the effect of preference specifications on the current day valuation of future outcomes. Specifically, we analyze the effect of risk aversion, ambiguity aversion and the elasticity of intertemporal substitution on the willingness to pay to avoid climate change risk. The first part of the paper analyzes a general disaster (jump) risk model with a constant arrival rate of disasters. This provides useful intuition in how preferences influence valuation of long-term risk. The second part of the paper extends this model with a climate model and a temperature dependent arrival rate. Since the model yields closed form solutions up to solving an integral, our model does not suffer from the curse of dimensionality of numerical IAMs with several state variables. Introducing Epstein-Zin preferences with an elasticity of substitution higher than one and ambiguity aversion leads to much larger estimates of the social cost of carbon than obtained under power utility. The dominant parameters are the risk aversion coefficient and the elasticity of intertemporal substitution. Ambiguity aversion is of second order importance. |
| 主题 | Financial Economics |
| 关键词 | Social cost of carbon ambiguity aversion Epstein-zin preferences Stochastic differential utility Climate change |
| URL | https://cepr.org/publications/dp13708 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542571 |
| 推荐引用方式 GB/T 7714 | Stan Olijslagers,Sweder van Wijnbergen. DP13708 Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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