2020年1月
Expected utility and catastrophic risk in a stochastic economy-climate model
Journal of Econometrics
- ,
- ,
- ,
- 巻
- 214
- 号
- 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.
- ID情報
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- DOI : 10.1016/j.jeconom.2019.05.007
- ISSN : 0304-4076