Climate Change Risk in Brazil

  • Author
  • Ricardo Buscariolli
  • Abstract
  • In this paper I estimate the risk of long run temperature shifts over assets and I quantify the price of this risk using GMM. I use an econometric specification based on a theoretical model that integrates the interaction between global warming and economic growth, accounting for the (endogenous) risks of climate-induced damages. I find that climate change risk is already factored into asset prices, endowing capital markets with crucial information regarding the cost of climate change. 

  • Keywords
  • Climate Finance, Equity Premium, Global Warming, Long-Run Risks, Temperature, Empirical Asset Pricing
  • Modality
  • Comunicação oral
  • Subject Area
  • Apreçamento de Ativos (Asset Pricing)
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  • Apreçamento de Ativos (Asset Pricing)
  • Finanças Corporativas e Bancárias (Corporate Finance and Banking)
  • Econometria Financeira (Financial Econometrics)
  • Engenharia Financeira (Financial Engineering)
  • Macrofinanças (Macrofinance)