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Three essays in financial economics : climate risk and the transition to a low carbon economy

Abstract : This thesis provides a framework to study the nexus between macroeconomics, finance, and the environment. This framework is then used to assess how macro-financial policies could take part in climate change mitigation. Equipped with this new tool, we provide several theoretical, methodological, applied, and empirical contributions. We first shed light on the impact of climate change on the measurement of the natural rate of interest and propose a new indicator that is better suited when monetary policy is constrained by the effective lower bound on nominal rates. We then study the side effects of a market for carbon permits. We show that the level of carbon price required to achieve climate goals imply a loss in welfare that can be mitigated through the implementation of sector-specific weights in the capital requirements of banks favorable to less carbon intensive sectors. The design of a cap and trade policy also implies uncertainty on the price of carbon that leads to volatility in risk premia. This volatility can be offset by means of quantitative easing rules. Finally, we provide empirical evidence on the interactions between the carbon price, the level of emissions, and the abatement technology. We find that the third phase of the ETS contributed significantly to emissions reduction. We also show that long-term loans play an important and significant role in boosting green innovation. However, above a certain threshold, the carbon price is found to have a negative effect on green innovation. We then proceed to build a model with endogenous growth in productivity and abatement technology to match the evidence. The endogenous abatement technology model is used to show how public policies could steer growth in green technologies, therefore easing the burden on firms related to the rise in the carbon price. We also compute transition pathways consistent with the net-zero target, which illustrate how the endogenous abatement technology affects dynamics in emissions reduction.
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Submitted on : Friday, May 13, 2022 - 6:32:35 PM
Last modification on : Saturday, May 14, 2022 - 3:36:37 AM


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  • HAL Id : tel-03667949, version 1



Josselin Roman. Three essays in financial economics : climate risk and the transition to a low carbon economy. Economics and Finance. Université Paris sciences et lettres, 2021. English. ⟨NNT : 2021UPSLD032⟩. ⟨tel-03667949⟩



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