Buy this book
"In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences in temperature betas mirror exposures to aggregate growth rate risk, which we show is negatively impacted by temperature shocks. That is, portfolios with larger exposure to risk from aggregate growth also have larger temperature betas; hence, a larger risk premium. We further show that increases in global temperature have a negative impact on economic growth in countries closer to the Equator, while its impact is negligible in countries at high latitudes. Consistent with this evidence, we show that there is a parallel between a country's distance to the Equator and the economy's dependence on climate sensitive sectors; in countries closer to the Equator industries with a high exposure to temperature are more prevalent. We provide a Long-Run Risks based model that quantitatively accounts for cross-sectional differences in temperature betas, its link to expected returns, and the connection between aggregate growth and temperature risks"--National Bureau of Economic Research web site.
Buy this book
Showing 1 featured edition. View all 1 editions?
Edition | Availability |
---|---|
1
Temperature, aggregate risk, and expected returns
2011, National Bureau of Economic Research
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Title from PDF file as viewed on 1/12/2012.
Includes bibliographical references.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Source records
Community Reviews (0)
Feedback?October 17, 2020 | Edited by MARC Bot | import existing book |
January 18, 2012 | Created by LC Bot | import new book |