Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2022 erstellt
Beschreibung:
We model the climate change impact on the risk free term structure in a time deformation model with a persistent component in the stochastic clock. In the spirit of the "rare disaster" representation of climate change we specify a "pure" jump model for consumption. Climate change is claimed to affect negative skewness of consumption, due to higher intensity and severity of negative jumps (" disasters"), making consumption growth more negatively skewed. This reduces the level of the long term interest rate. The slope of the term structure is instead affected by the common component in the stochastic clock, which has a natural economic representation as an increase in the clock of disasters. The model was specified to the case of a Gamma distributed clock, corresponding to a Variance Gamma (VG) model, and calibrated on the European and the US market, and shows negative skewness of consumption in the period following the 2008 crisis, with skewness getting even more negative after 2014. The VG model also allows to split the increase in negative skewness in the difference between the expected rate of negative jumps (disasters) and that of positive jumps (bonanzas). The former increase both in the European and the US market (with a higher increase in Europe) and the latter decrease (the decrease being sharper in the US market)