期刊
REVIEW OF FINANCIAL STUDIES
卷 34, 期 8, 页码 3527-3571出版社
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhab032
关键词
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资金
- Harvard Weatherhead Center for International Affairs
- Center for the Global Economy and Business
- Fama-Miller Center
- Initiative on Global Markets
- Norwegian Finance Initiative
- NBIM
- Global Risk Institute
The study shows that housing markets can provide valuable information about appropriate discount rates for investments in climate change abatement. While the term structure of discount rates for real estate is downward sloping, it is upward sloping for climate-hedging investments, with an upper limit set by the risk-free rate. Housing discount rates can serve as an upper bound for valuing investments in the absence of risk-free rates.
We show that housing markets provide information about the appropriate discount rates for valuing investments in climate change abatement. Real estate is exposed to both consumption and climate risk and its term structure of discount rates is downward sloping, reaching 2.6% for payoffs beyond 100 years. We use a tractable asset pricing model that incorporates features of climate change to show that the term structure of discount rates for climate-hedging investments is thus upward sloping but bounded above by the risk-free rate. At horizons at which risk-free rates are unavailable, the estimated housing discount rates provide an upper bound.
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