論文

査読有り
2020年1月

Expected utility and catastrophic risk in a stochastic economy-climate model

Journal of Econometrics
  • Ikefuji, Masako
  • ,
  • Laeven, R.J.A
  • ,
  • Magnus, J.R
  • ,
  • Muris, C

214
1
開始ページ
110
終了ページ
129
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.jeconom.2019.05.007
出版者・発行元
ELSEVIER SCIENCE SA

We analyze a stochastic dynamic finite-horizon economic model with climate change, in which the social planner faces uncertainty about future climate change and its economic damages. Our model (SDICE*) incorporates, possibly heavy-tailed, stochasticity in Nordhaus' deterministic DICE model. We develop a regression-based numerical method for solving a general class of dynamic finite-horizon economy climate models with potentially heavy-tailed uncertainty and general utility functions. We then apply this method to SDICE* and examine the effects of light- and heavy-tailed uncertainty. The results indicate that the effects can be substantial, depending on the nature and extent of the uncertainty and the social planner's preferences.

リンク情報
DOI
https://doi.org/10.1016/j.jeconom.2019.05.007
ID情報
  • DOI : 10.1016/j.jeconom.2019.05.007
  • ISSN : 0304-4076

エクスポート
BibTeX RIS