Macroeconomics, climate change and a new
carbon policy proposal
Etienne Espagne (CIRED)∗, Baptiste Perrissin-Fabert (CGDD), Thomas Brand (CEPII)
June 17, 2014
1
Introduction
Recent climate negotiations have called for a “paradigm shift” to devise a
successor of the Kyoto regime (?). Acknowledging that the pursuit of a world
unique carbon price approach, or the so-called “burden sharing” approach leads
to a diplomatic impasse (Hourcade et al., 2008; Shukla and Dhar, 2011), a new
role has been given to project-based climate finance. The objective is to bring
the banking system and institutional investors in the funding of the low-carbon
transition in order to scale up climate finance. On the one hand this paradigm
shift happens in an untimely context of private deleveraging in the aftermath of
the great recession and public distrust in the ability and the willingness of the
financial system to make a sustainable recovery possible. On the other hand,
this context opens a window of opportunity to link the low-carbon transition
funding challenge with the reform of the financial and monetary order to make
it more resilient.
In this paper, we build on Hourcade et al. (2012)1 to present a plan to scale
up climate finance and overcome the stumbling blocks of climate negotiations.
This plan starts from the diagnosis that: (1) the urgency of strong action for the
energy transition and against climate risks is widely admitted; (2) constrained
public budgets in developed countries since the beginning of the great recession
seem to forbid any ambitious financing plan, neither domestic or abroad; (3)
energy-intensive emerging economies disagree on any binding policy that would
limit their development pace; (4) in that context, the focus of climate negotiations on a “carbon price only” mechanism, be it through a carbon tax or
an emission cap, has come accross an inextricable distributive issue. Any new
roadmap for successful post-Kyoto negotiations must thus take into consideration this bundle of constraints.
The basic principle of the solution we propose is the use of a new financial
vehicle to fund Low-Carbon Projects. The governments which are part of the
agreement provide a public guarantee on a set of commonly agreed low-carbon
∗ Research Fellow, Centre International de Recherche sur l’Environnement et le
Développement (CIRED)
E-mail : [email protected]
Preliminary version
1 Hourcade et al. (2012) present the plan in a non formal way and call for its quantitative
macroeconomic appraisal.
1
assets. Such guarantee allows the central banks of these countries to refinance
the commercial banks issuing loans to such projects via carbon-based liquidities, which are considered as “equity in the commonwealth”. Such equity pays
dividends in the form of “actual wealth” created by productive low carbon investments and averted emissions in the short term, a stronger resilience of the
economy to environmental shocks in the long term. The banks which change
the composition of their loan book by funding low-carbon projects would be
perceived as less risky and will be therefore rewarded by a reduction in the cost
of their prudential capital constraint.
Our proposal results in a significant enhancement of low-carbon entrepreneurs’
solvency2 . It rests on four essential features: (1) An agreement on a “value” (not
a real “price”) of carbon emissions – also called the social cost of carbon(SCC)
– among the involved countries. (2) The power of the central bank to create
“carbon certificates” valued at this politically agreed SCC. (3) The building
of an institutional arrangement between firms, commercial banks, the central
bank, and an independent monitoring body in order to avoid agency problems
and target effective emission reductions. (4) The possibility of an exit strategy,
once the transition has occurred and is self-sustaining.
We compute the implementation of the proposal by embedding a comprehensive and carefully calibrated neokeynesian DSGE model based on ? which
integrates a financial accelerator inspired by ?, and a climate externality in the
same fashion as in ?3 . This unprecedented framework allows for a comparison
of the effectiveness of the plan with standard instruments such as a carbon tax
or emission quantity rules.
This paper is related to several strands of litterature which have seldom been
combined together. First, the necessity of capital-based mitigation policies has
been recently recognised and justified in ?, essentially for political economy
reasons (short-term political acceptability of long-term political uncertainty).
The concept of ”green” industrial policy is being strengthened by the repetitive
failure of climate negociations to build a consensus on a global carbon price ?
and the necessity to take a second-best world into account. In a way, our paper
relates with these debates by proposing a capital-based policy which does not
exclude per se the future introduction of a carbon tax. But if we justify this
proposal essentially for polital economy reasons in a second-best environment,
we also show how the policy itself can theoretically be designed to match a
first-order optimum.
A second important strand of related litterature is constituted by the recent
attempts to discuss environmental policies in DSGE frameworks. In thi field,
we owe much to ? for its first carefull depiction of a simple neo-classical DSGE
framework wit an environmental policy, and to ? for their extension of this
framework to a neo-keynesian environment. ? evaluates the optimal environmental policy response to business cycles in a centralized economy (first-best)
and in a decentralized economy (second-best). ? compares the impact of business cycles on the welfare efficiency of different environmental policy instru2 In a slightly modified version, it could also help banks in the short term to comply with
their prudential balance sheet constraints.
3 The cutting-edge DSGE models developed in the last few years trying to understand the
channels of action of monetary policies and financial intermediation offer us the analytical
tools required for our proposal. ? give a comprehensive review of the integration of “financial
frictions” in a DSGE approach.
2
ments, in an economy with nominal rigidities. Other related paper in the field
are ??, which were the first paper to incorporate an environmental policy into
a real business cycle (RBC) model.
Finally, a third strand of related litterature is made up by financial macroeconomic models and monetary macroeconomic models developped before and
after the crisis, mostly in a DSGE framework. These models were trying to understand the way the financial sector drives economic fluctuations in the short
run Bernanke et al. (1999); ?. The financial crisis made this area of research
more crucial, and fast developments were realized in order to delve into the balance sheets of the financial system Benes and Kumhof (2012), to try to predict
the effects of the new so-called ”non-conventionnal” monetary policies Benes
and Kumhof (2012) or to propose and evaluate different directions for financial
reforms ?. Of this very recent toolbox, we most specifically use the financial
accelerator technology derived from Bernanke et al. (1999). But more than a
simple toolbox, this litterature helps us justify that there is no solution to the
financing of climate change mitigation without a plain understanding and involvement of the financial sector, which also might well mean a structural and
institutionnal change of its way of internalizing value creation.
However, there are no close predecessor to our paper in the way it would
combine such different fields in a single research question, incorporating questions of industrial policy into environmental questions using the channel of the
financial system. Section 2 presents the key mechanisms of this carbon-based
financial vehicle. Section 3 describes the main features of the model. Section
4 discusses the results of the policy experiment and the comparison with more
traditionnal approaches to climate policy. Section 5 concludes.
2
2.1
2.1.1
A new carbon-based financial vehicle
The four pillars of the financial vehicle
Valuation of the carbon externality
In the last Conferences of the Parties in Warsaw, decision-makers of the
United Nations have confirmed the long term objective of preventing a temperature increase greater than 2 ‰ above pre-industrial levels. This political
willingness to address the climate threat comes to implicitly acknowledge a
value to the carbon externality. Such a value is usually known in the academic
litterature as the Social Cost of Carbon (SCC)4 . It is the value of the marginal
damage caused by an incremental emission of CO2 . When it is set at an optimum, it also equals the marginal benefit of an incremental reduction of CO2
emissions. The estimate of the SCC is highly controversial in the literature
(Tol, 2008; Perrissin-Fabert et al., 2012; Espagne et al., 2012)5 . This is why
4 The only absolute necessity for our tool is that a valuation of the carbon externality be
acknowledged by the participating countries. It can be the SCC or any other proxy considered
more practical for scientific, economic or political reasons. In our model, we evaluate the valuation of the carbon externality at the value of avoided damages. For the sake of simplicity of
the exposition, we keep using the SCC as the proxy for the valuation of the carbon externality
in the remaining of the text.
5 Uncertainty about this value is very large but it is worth noting that the UK (Watkiss
and Downing, 2008), the US (on Social Cost of Carbon United States Government, 2010), and
France (Quinet et al., 2009) have already integrated a SCC into regulatory analysis of public
3
the choice of the SCC will be ultimately political in nature and translates the
willingness of governments to act for mitigating climate change.
A political agreement on a common value of SCC is likely to be easier than
one on a carbon tax or national emissions cap because it serves as a notional
price paying for avoided CO2 emissions entailed in new low-carbon investments.
Contrary to a carbon tax, which must be paid for each unit of carbon emissions,
a notional price does not impose a direct short term cost on neither the public
budget, or firms and consumers, and only concerns new investments. Contrary
to a national emission cap, it avoids a debate on the ”burden-sharing” conundrum, which has so far stalled in climate negociations. And contrary to emission
intensity targets, it gives the same low-carbon incentives to all participant countries, avoiding the possibility of new technological lock-ins under the argument
of different development states. That way, much diplomatical gordian knots emphasized in the introduction can theoretically be cut. We must however specify
now the use our financial vehicle will make of this shared SCC.
2.1.2
A capital-based policy in favor of a low-carbon projects
The proposal involves a reduction in the cost of capital of the firms investing in low-carbon projects. This reduction of capital cost is conditionned by a
certain abatement effort at the charge of the firm. A gap is thus introduced
between business-as-usual firms (or so called ”brown” capital) and low-carbon
ones (or ”green” capital). The financing of this gap could be made through a
standard public subsidy, but as we stressed in the introduction, climate negociations so far have pointed out how taking the financial constraint experienced
by developped countries since the 2008 crisis was a key element for reaching an
agreement. So we propose instead to use a new policy channel, based on the
SCC representing the international valuation of the carbon externality.
Accepting as repayment certified emission reductions instead of cash, the
commercial bank issuing loans to the low-carbon firm accepts at the end of the
credit maturity an asset swap: carbon credits against the initial financial claim.
This swap cancels out part of the firm’s debt by an amount equivalent to the
value of the emission reduction the project has achieved. The commercial bank
may then refinance these carbon credits at the central bank. In fact, in accordance with governments’ willingness to value emission reductions, the central
bank announces that it will issue drawing rights to the commercial banks in
exchange for these carbon credits. The use of this channel thus significantly
strengthens low-carbon projects’ solvency and therefore their relative attractiveness for commercial banks. This operation is tantamount for the central
bank to paying a service of carbon emission reductions at a price justified by
the politically agreed SCC, and eventually society’s willingness to pay for a
better climate.
2.1.3
Monitoring effective CO2 emission reduction
This mechanism offers to the banks a “free” drawing right, proportional to
the value of expected emission reduction entailed in the projects they fund.
To make sure that this funding scheme benefits to actual low-carbon projects
and rewards effective CO2 emission reductions, an independent international
investment decisions with values of respectively US$42, US$33, and US$130 in 2030.
4
Supervisory Body, similar to the CDM Executive Board, determines eligible
mitigation projects (size, technology, sector, time horizon), approves methods
for monitoring their performance, and confirms that emission reductions are
achieved based on verification reports by accredited independent bodies.
2.1.4
The possibility of an exit strategy
The main difficulty in climate negociations comes from the initial process
of energy transition, which does not seem to be put in place by a classical
tool such as a carbon tax, for all the reasons already invoked. However, once
the transition has occured, and the economy is already on the way of a low
carbon transition, the opponents to the existence of a traditional approach to
the valorization of carbon externalities shoulf lower their opposition because the
immediate costs induced would be reduced (existing investments already reflect
a piguvian tax via the industrial policy in place) and because the tax could
provide the government new funding sources.
An exit strategy from the proposed financial vehicle is widely possible in
order to go back to a more classical for of taxation, in the framework of a new
international agreement. The condition to an exit is thus the convergence at
the end between the princing of the carbon externality through the financial
tool and the princig which would come from a future carbon tax. Without this
convergence condition, there would be temporal incoherence in the expected
return of investments while getting from one tool to the other.
The exit can however mean at least two things:
ˆ a more or less progressive stop of all new emissions of carbon liquidities
bay the central bank in exchange of the carbon certificates accepted from
commercial banks. The carbon money created so far stays at the balance
sheet of the central bank. It is considered indestructible, like an equity
”in the commonwealth”.
ˆ a sell-out of the already emitted carbon liquidities, and a corresponding
destruction of the carbon assets initially emitted for the buying of these
assets.
In the first case, the balance-sheet of the bank is increased up to the value of
the carbon assets bought during the existence of the proposed financial vehicle.
In the second case, the final balance-sheet is the same before and after the low
carbon financial vehicle is put in place. Our proposal acts as a catalyzer allowing
the society to change its equilibrium state, after which this new state could be
maintained in an endogenous way. These exit conditions should of course be
included from the start in order to avoid rent capture et to allow the agents to
adjust their anticipations.
2.2
A balance-sheet approach to the financial vehicle
The following tables offer a numerical example of the balance sheet consequences for the central bank and a commercial bank of a 1000 loan to a lowcarbon entrepreneur expected to realize 10 units of CO2 emission reduction.
The SCC is set at 10, which values the expected emission reduction at 100.
In business-as-usual times, the low-carbon entrepreneur would not receive
any loan because its project would not be competitive enough compared to
5
Table 1: Balance sheets at the opening date of the low-carbon loan
Central Bank
Asset
Liability
Commercial Bank
Asset
Liability
Entrepreneur
Asset
Liability
1000(RK
Loan CO2
+100
10 C02
Reduction
of CO2
l
+100
d
+900(r )
+100
+900(r )
+100
+900(rl )
+100
100
Drawing
rights
normal projects. By giving a guarantee on 10% of its loan because of the non
internalization of the carbon externality, the new financing tool allows the low
carbon entrepreneur to lower the capital cost and compete with the businessas-usual projects in terms of lending capacity.
On the commercial bank side (balance sheet in the middle), the loan to the
low-carbon entrepreneur is divided into two credit lines. On the first line, the
commercial bank borrows 900 deposits (at rate rd ) and lends 900 (at rate rl )
to the low-carbon entrepreneur. The second line with the 100 figures refers to
the new financial vehicle, the commercial bank being in balance sheet terms
only the intermediary in the process. This vehicle however lowers the risk of
the low-carbon projects for the commercial bank compared to business-as-usual
times. The operation is neutral for the bank as long as the emission reduction
promised by the low-carbon project actually occurs: it lends 100 extra-loans (on
the asset side) and gets repaid in terms of emission reductions for an equivalent
value of 100 (on the liability side). However this 100 on the liability side is not
directly repaid by the low-carbon entrepreneur.
Once the project has been certified in terms of emission reductions, the
commercial bank can be paid back by the central bank (balance sheet on the
left) for its 100 extra-loan. The central bank thus accepts a value of 100 certified
emission reductions (on the asset side) from the commercial bank, which are
financed by low-carbon drawing rights created on the liability side of the central
bank. At a macroeconomic level, we can think of an announcement by the
central bank that it would accept up to a certain quantity of certified emission
reductions to a certain price in exchange for these drawing rights. That way,
the central bank keeps control of both the quantity and the price of the new
instrument.
At the end of loan maturity, table 2 indicates that the entrepreneur has
paid back her entire 900 debt with the monetary revenues of the project and
has gotten 10 ”carbon certificates” for the emission reduction her project has
achieved. Capital constraint for the commercial bank gets null and only the
second credit line remains unchanged in the balance sheets.
6
Table 2: Balance sheets at the end of the payback period of the low-carbon loan before
the asset swap
Central Bank
Asset
Liability
Commercial Banks
Asset
Entrepreneur
Liability
Asset
Liability
K
Loan CO2
+100
+100
+0
+100
1000(R )
−900(rl )
+ 10 CC
+0
+100
+0
+100
+0
10 C02
Reduction
of CO2
3
100
Drawing
rights
The model
The basic architecture of the economy is a New Keynesian model close to ??,
and ??. We extend it in three ways: (1) to account for pollutant emissions (2)
to analyse the effects of financial intermediation on the energy-economy system
(3) to compare different environmental policy regimes to the new carbon policy
proposal.
Time is discrete and indexed by t. There are six types of economic agents:
(1) households consume, offer labor services and save in the form of government
bonds; (2) monopolistically competitive polluting firms use labor rented from
households and physical capital rented from investment funds as inputs to produce a single horizontally differentiated intermediate goods; (3) perfectly competitive firms combine intermediate goods to produce a final consumption good;
(4) investment funds use their net worth and loans from the financial system to
buy capital to capital producers and rent it to intermediate goods producers;
(5) a central bank sets nominal interest rates by following a standard Taylor
rule; and (6) a budgetary authority decides on fiscal and environmental policy.
3.1
3.1.1
The production side
Final good production
The final good producer aggregates a bundle of differentiated intermediate
goods Yj,t indexed by j ∈ [0, 1] according to a constant elasticity of substitution
technology:
Z
Yt =
1
(Yj,t )
ε−1
ε
ε
ε−1
dj
,
(3.1)
0
with ε > 1 denotes the elasticity of substitution between differentiated intermediate goods.
The final good producer acts under perfect competition and thus takes the
final good price Pt and the intermediate goods prices Pj,t as given. She chooses
7
intermediate good quantities Yj,t to maximize profits:
Z
1
maxPt Yt −
Yj,t
Pj,t Yj,t dj.
(3.2)
0
This allows us to write the aggregate demand function:
Yj,t =
Pj,t
Pt
(−ε)
Yt .
(3.3)
Perfect competition and free entry drive the final good producing firm’s profits
to zero, so that from the zero-profit condition, we obtain the aggregate price
index of our economy:
Z
Pt =
1
−ε
1
1−ε
(Pj,t )
dj
.
(3.4)
0
3.1.2
Intermediate goods production
The intermediate goods sector is made by a continuum of monopolistically
competitive polluting firms indexed by j ∈ [0, 1]. The typical firm j hires Lj,t
labor inputs and capital Kj,t in perfectly competitive factor markets to produce
intermediate goods Yj,t , according to the constant return to scale technology:
α
Yj,t = At Kj,t−1
L1−α
j,t , α ∈ [0, 1],
(3.5)
where α is the elasticity of output with respect to capital and the term At
represents the level of technology.
Emissions Ej,t at the firm level are a byproduct of its output. The relation
is proportional, but can be affected by the abatement effort aj,t :
Ej,t = (1 − aj,t )h(Yj,t ),
(3.6)
with aj,t the fraction of abated emissions at period t for firm j, and h the function
driving carbon intensity of the intermediate good production. We choose the
following form of h(Yj,t ):
h(Yj,t ) = γYj,t ,
(3.7)
with γ measuring emissions per unit of output in the absence of abatement
effort.
The CO2 emissions are flows increasing an existing stock xt of CO2 concentration according to the following accumulation law:
xt = ηxt−1 + Et + E row ,
(3.8)
with η the natural depreciation rate of atmospheric CO2 concentration due to
the CO2 capture into the biosphere and the oceans, and E row are the emissions
of the rest of the world which are supposed to be three times the domestic
emissions Et .
The cost of abating a fraction of emissions ca is a function of the firm’s
abatement effort and output:
ca (aj,t , Yj,t ) = θ1 aθj,t2 Yj,t , φ1 > 0, φ2 > 1,
8
(3.9)
with θ1 and θ2 two technological parameters of abatement cost.
Emissions may be costly to producers, so that the unit cost of emission PE
depends on the environmental regime put in place. Other prices are modeled à
la ?6 .
In the static problem, the intermediate goods producers consider nominal
wage Wt , the rental cost of capital RtK and the unit cost of emission PE as
given. They aim at minimizing their use of labor, capital and abatement:
min
Lj,t ,Kj,t−1 ,aj,t
Wt
RK
PE
Lj,t + t Kj,t−1 + ca +
Ej,t .
Pt
Pt
Pt
(3.10)
They thus solve (3.10), under the production constraint (3.5) and the abatement cost constraint (3.9). We get the following optimality conditions for the
demand of labor, capital, and abatement effort:
α
(1 − α)At Kj,t−1
L−α
j,t Ψj,t =
α−1 1−α
αAt Kj,t−1
Lj,t Ψj,t =
Wt
,
Pt
RtK
,
Pt
(3.11)
(3.12)
PE
(3.13)
Pt
where Ψj,t is the marginal cost associated to the manufacturing of a marginal
unit of output.
3.11 equates the marginal product of labor to the real wage, 3.12 the marginal
product of capital to its real rental rate, and 3.26 the marginal product of
abatement to its marginal cost.
Conditions 3.11 and 3.12 imply that all firms choose the same capital-labor
ratio, so that the marginal cost associated to the manufacturing of the intermediate goods is common to all firms:
1−α α
1−α K α
1
1
1 Wt
Rt
Ψt =
.
(3.14)
1−α
α
A t Pt
Pt
θ2 −1
θ1 θ2 aj,t
=γ
Condition 3.26 implies that also the abatement effort aj,t is common to all
firms, so that the marginal cost of producing an additional unit of output is
equal across firms7 :
M Ct = Ψt + θ1 aθj,t2 +
PE
(1 − aj,t )γ
Pt
(3.15)
As in ?, the production of the capital good Kt is performed by a specific
technology, such that capital accumulation is given by:
Kt+1 = (1 − ∆)Kt + (1 − S(
It
It−1
))It ,
(3.16)
6 At each period, each intermediate goods producer can reoptimize its price with a fixed
probability 1 − ξ. Otherwise, its price stays unchanged, the probability of changing price 1 − ξ
being independant of the time elapsed since the last adjustment. This price setting mechanism
implies that the average price duration is given by (1 − ξ)−1 .
7 The optimal price setting problem of the typical firm j which in period t is able to
reoptimize its price Pt∗ with a probability (1 − ξ) is given in the technical appendix. Let us
just note that in the case of fully flexible prices (i.e. ξ = 0 and Pt∗ = Pt ), the marginal cost
writes M Ct = ε−1
.
ε
9
where ∆ is the depreciation rate on capital, S is an increasing and convex
function .
3.2
The financial sector
Capital lenders and borrowers do not have access to the same information.
These financial frictions are a key factor explaining the transmission of credit to
the economy and are thus crucial in highlighting any policy proposal for financing the mitigation of climate change. In our model, the financial sector is mainly
represented by investment funds, which are specialized in capital management,
and banks, who provide loans to investment funds.
Investment funds are indexed by i ∈ [0, 1]. They use an optimally chosen
combination of bank loans Li,t and internal funds Ni,t to purchase physical
capital qt Ki,t :
Li,t = qt Kt − Ni,t
(3.17)
The ex-post nominal return on physical capital is denoted by RetK
t . After
the purchase of capital, the investment funds draw an idiosyncratic shock which
K
K
changes Kt into ωt+1
Kt at the beginning of period t + 1, where ωt+1
is a unit
mean lognormal random variable distributed independently over time and across
K
borrowers. log ωt+1
has a mean µωK ,t and a variance σω2 K ,t . Density function
K
K
K
).
) and Ftk (ωt+1
and cumulative density function of ωt+1
are given by ftk (ωt+1
Returns to capital for investment funds are the sum of capital services (net
from capital taxes, the depreciated capital being exempted from the tax) and
the revenues from the selling of the capital to capital producers at a price qt+1 ,
net of the depreciated capital:
RetK
t+1 =
3.2.1
k
K K
K
(1 − τt+1
)Rt+1
+ qt+1 (1 − δ) + δτt+1
qt+1
qt
(3.18)
The contract between the bank an the investment fund
We assume that each investment fund receives a standard debt contract from
the bank. This specifies a nominal loan amount Li,t and a gross nominal rate
L
K
of interest Rt+1
to be paid if ωt+1
is sufficiently high to rule out default, and
determined after the realization of time t + 1 aggregate shock, in line with ?
and ?.
K
K cannot repay their
Investment funds who draw ωt+1
below a cutoff level ωt+1
loan and go bankrupt. They must hand over all their assets to the bank, but
the bank can only recover a fraction (1−) of the asset value of such borrowers.
The remaining fraction represents monitoring costs, which are assumed to be
paid out to households in a lump-sum fashion.
Banks’ ex-ante zero profit condition is given by:
1−
K
F (ω̄t+1
)
L
Lt Rt+1
Z
+ (1 − )
K
ω̄t+1
RetK,t+1 qt Kt ωtK ftK (ωtK )dωtK − Lt Rt+1 = 0.
0
(3.19)
This states that the payoff to lending must equal wholesale interest charges
Lt Rt+1 . The first term in square brackets is the gross interest income on loans
K
K .
to borrowers whose idiosyncratic shock exceeds the cutoff level, ωt+1
≥ ωt+1
10
The second term is the amount collected by the bank in case of the borrowK
K . This cash flow is based on the return
ers bankruptcy, where ωt+1
< ωt+1
K
RetK,t+1 ωt on the physical capital, but multiplied by the factor (1 − ) to reflect a proportional bankruptcy cost . The ex-post cutoff productivity level is
K
K , the gross interest charges due in the
determined by equating, at ωt+1
= ωt+1
K
event of continuing operations Lt Rt+1 to the gross idiosyncratic return on the
investment funds’ physical capital RetK,t+1 qt Kt ωtK :
K =
ωt+1
K
Lt Rt+1
RetK,t+1 qt Kt
(3.20)
Using this equation, we can replace the previous equation by the zero-profit
condition:
Et RetK,t+1 qt Kt (Γt+1 − Gt+1 ) − Lt Rt+1 = 0,
(3.21)
where Γt+1 is the banks gross share in the earnings of the underlying asset:
In other words, the bank will set the terms of the lending contract such
that its expected gross share in the earnings of physical capital is sufficient to
cover monitoring costs RetK,t+1 qt Kt Gt+1 and the opportunity cost of the loan
Lt Rt+1 . The investment fund is left with a share (1 − Γt+1 ) of physical capitals
earnings.
3.2.2
The investment fund program
The investment fund selects the optimal level of investment in physical capital by maximizing Et (1 − Γt+1 )RetK,t+1 qt Kt subject to 3.21. Investment fundspecific indices can in each case be dropped because the problems are linear in
balance sheet quantities. The solution is identical to ?:
3.3
Households
The representative infinitely-lived household maximizes the following lifetime utility:
E0
∞
X
t=0
β
t
(ls )1+ϑ
log(Ct − hCt−1 ) − ψ t
1+ϑ
,
(3.22)
with E the expectation operator, β the discounting factor, ψ the parameter that
gives the relative weight of labor supply in the utility function, h the weight of
external habit of consumption, and ϑ the reverse of the elasticity of labour
supply.
The period by period budget constraint for the typical household writes::
Ct = Wt lt − Tt ,
(3.23)
where Wt is the nominal wage, Tt are lump-sum social transfers.
The optimality conditions for the households are standard and shown in the
technical appendix.
11
3.4
Monetary and fiscal authorities
3.4.1
Public sector
The monetary authority manages the short-term nominal interest rate Rt
according to:
Πt mi
Rt
,
=
R
Π
(3.24)
where Π denotes the deterministic steady-state inflation level and mi is a policy
parameter.
The flow budget constraint of the public sector reads:
Tt + PE Et = Pt Gt ,
(3.25)
where public consumption is financed by lump-sum taxes and revenues on emissions which depend on the environmental policy put into place.
3.5
Environmental policy regimes
In this context, we will consider five different environmental policy regimes.
3.5.1
No climate policy
Emissions are costless to firms (PE = 0), and there is no incentive to sustain
the costs of emission abatement (at = 0).
3.5.2
Tax policy
The government levies taxes on emissions at a constant rate τE , implying
that pE = PPEt = τE and that 3.26 now writes:
τE =
φ1 φ2 φ2 −1
a
γ j,t
(3.26)
The abatement effort of intermediate-good producers is constant.
3.5.3
Low-carbon liquidity
The government decides that the loans of the bank to low-carbon projects
(i.e. with a positive level of abatement) can benefit from liquidities up to the
amount of the effectively reached abatement level. The zero profit condition of
the bank can be rewritten as:
1−
K
F (ω̄t+1
)
L
Lt Rt+1
Z
+ (1 − )
K
ω̄t+1
RetK,t+1 qt Kt ωtK ftK (ωtK )dωtK − Lt Rt+1 gov(aj,t ) = 0.
0
(3.27)
where gov(aj,t ) = p1 (1 − p2 aj,t ) represents the reduction of the opportunity
cost of the low-carbon financing that the government is ready to propose in
addition to the usual rate R, according to the realized abatement level. p1 and
p2 are two parameters allowing to calibrate this ”political” low carbon liquidity
12
function. The higher the abatement level of the low carbon project, the higher
the reduction of the opportunity cost, to the proportion of the value for the
government of these emission reductions.
The commercial bank is indifferentregarding this modification, as long as its
profits are null by hypothesis. The investment fund sees its first-order conditions
modified (notably the optimal contract with the bank and the wealth accumulation equation), without any possibility for him to optimize with regards to the
variable gov(aj,t ).
The intermediate producer benefits that way from a price on capital RaKt
which becomes dependant on the level of chosen abatement. This comes to
make him integrate the new zero profit condition of the bank in the form of a
constraint in his objective function. The new first order condition with regard
to the abatement is deduced :
θ1 θ2 aθt 2 −1 = (1 + Rt ) ∗ (qt ∗ Kt /nt − 1)λz p1 p2 ,
(3.28)
where λz represents the shadow price of the abatement for the representative
household.
We consider here the case where this industrial policy is paid for by a targeted
money creation so that the cost of the policy is redistributed in a lump-sum
fashion to the representative agent.
4
4.1
Calibration and steady-state
Calibration
We summarize in this part the calibration choices made, which are mostly
taken from ? for the economic and financial parameters (parametrized on the
US), and from ? for the environmental parameters. We summarize these essential parameters at the table 3.
Time is measured in quarters. The pure time preference is fixed at 0.99,
leading to an annual discount rate of 4%. The share of capital in the production α is fixed in a standard way at 0.4. The depreciation rate of capital is
0.025. Probability coefficients that the firms do not change their salary and
price policies are respectively fixed at 0.81 and 0.74. The parameters linked
with the financial accelerator are taken from ?.
The calibration concerning the emissions takes from ? the value of the parameter η of degrowth of the population of 0.9979. The coefficient γ measuring
the emissions per production unit is fixed at 0.304, as in ?.
4.2
Steady-state
The model is solved in each one of the scenarios following the hypothesis that
the emissions are reduced by 30%. All scenarios are thus in the same steadystate, which facilitates the comparisons between the different environmental
regimes.
The parametrization being given, the steady-state of the model and the
values of the main macroeconomic variables are reported in table 4. Without
surprise, the level of economic activity is weaker in the presence of an environmental policy, whichever it is.
13
Table 3: Paramétrisation
Paramètres
Valeur
Description
α
β
δ
Π
R
F (ω̄)
σ
ξw
ξp
θ1
θ2
η
γ
0.4
0.99
0.025
1.006
0.011
0.005
0.215
2.535
0.812
0.741
0.056
2.8
0.997
0.304
Paramètre technologique
Taux d’escompte
Taux de dépréciation du capital
Taux d’inflation cible
Taux d’intérêt réel
Probabilité de défaut
Fraction de coûts de contrôle
Variance du choc idiosyncratique
Coefficient de rigidité des salaires
Coefficient de rigidité des prix
Coefficient de la fonction de coût d’abattement
Paramètre de la fonction de coût d’abattement
Décroissance de la pollution
Emissions par unité de production
Table 4: Etat stationnaire des principales variables macroéconomiques
y
poll
em
ca
mcc
abat
c
h
i
k̄
λz
n
omega
¯
π
R
rL
rk
Rk
RL
s
σ
Sans pol. env.
Avec pol. env. (abat. de 30%)
2.9773
433.051
0.909406
0
0.833333
0
1.57075
1.01373
0.798323
24.1271
0.610222
11.9712
0.500971
1.00601
0.0114707
1.00543
0.050015
0.0188063
0.0114707
0.833333
0.259199
2.9662
302.612
0.635486
0.0057518
0.831407
0.3
1.56516
1.01344
0.79503
24.0276
0.612398
11.9229
0.500925
1.00601
0.0114707
1.00543
0.0500146
0.0188061
0.0114707
0.833333
0.259231
14
5
Dynamics of different environmental policy regimes
In this section, we analyze the dynamic properties of the model under different environmental policies. To this end, we first observe the answer of a
certain number of macroeconomic variables to different types of shocks usually
considered in the RBC litterature. This allows us to analyze the resilience of
our financing tool to different exogenous shocks usually considered.
Last, we observe the impact on these same macroeconomic variables of an
incremental and sustained increase of the environmental policy.
5.1
Comparative response to a technological shock
The following graphs represent the response of the economy to a productivity
shock under different scenarios: absence of an environmental policy, classical
environmental policy (carbon tax), and carbon monetary policy. All results
are reported in percentage of deviation from the steady-state on a period of 15
quarters.
The first graph gives the impulse responses of the main macroeconomic variables to a positive technological shock. After a positive technological innovation,
the production, consumption, investment and credit all increase. This increase
in credit is translated, in relative terms, into a temporary drop of the net worth
of entrepreneurs, which is rebuilt later, and into an overshoot effect at the source
of successive fluctuations. The evolutions of RL and RK only reflect in price
the evolutions in quantity of credit and net worth of the entrepreneurs. The
increased productivity induces a drop of the marginal cost of the firm. The
negative answer of the number of hours worked to the technological shock is
explained by the fact that the price rigidities encourage the producer to take
profit from the increase of productivity in order to reduce his work demand. At
the end, the inflation starts dropping suddenly as a consequence of the increased
productive activity, then adjusts on a period of 5 quarters approximately. The
differences in the evolution of these macroeconomic variables from one climate
policy scenario to the other are very small, or even non existant.
The environmental variables show the real differences implied by a technologcal shock on the different scenarios studied. It seems that the carbon monetary
policy puts the pollution cycle to a maximum earlier than the taxation, but that
this maximum is reached at a lower level. The logical consequence is that the
emissions are reduced more rapidly in the framework of the carbon monetary
policy than in the more classic taxation policy. It seems that the monetary tool
allows for a faster adjustment to the cycle, even if it allows a higher level of short
term pollution, with a lower polution stock over the whole cycle. We find here
the idea that the tax is the optimal tool while the moneary instrument allows
for an arbitrage in time and thus for a more politically acceptable transition.
5.2
Comparative response to a risk shock
The seminal article by ? shows how much the credit risk has been responsible for most of the economic fluctuations of the last decades. This work it self
justifies a particular study of a credit shock on the whole spectrum of macroeconomic variables, in the same framework of three different types of environmental
policies.
15
An increase in the credit risk increases the probability of low values of ω̄tK .
As a consequence, the banks increase their interest rate for the entrepreneurs
in order to cover the induced costs. The entrepreneurs answer to this by lending less, so that the overall amount of credit is lowered. Having less financial
resources, the entrepreneurs get less capital, which diminishes the investment.
This investment drop induces a drop in the production and the consumption. It
also creates a drop in the price of capital, reducing the net worth of entrepreneurs
and amplifying in fine the initial impact of the risk shock in standard accelerating fashion.
5.2.1
Comparative response to an incremental increase of the abatement level
We now observe how the macroeconomic and environmental variables react
to an incremental increase of the environmental policy. We restrict ourselves
here to the two scenarios of a carbon tax and a carbon monetary instrument.
In each one of these two scenarios, we consider the initial steady-state where
the abatement level is 10%. We choose a low level on purpose because we want
to study the impact of an increase of the environmental policy, which will be
translated into the adjustment of all other endogenous variables of the model.
It is worth noting that the anticipated or non-anticipated character of the shock
does only marginally change the dynamics of the results (?). Moreover we call
a permanent shock a temporary shock which comes back to its initial value in
the very long run (300 periods in our case), so that the effect of this return is
entirely absorbed by the discounting effect.
The results on the environmental variables show that we have calibrated this
incremental increase of the abatement level in order to have the same abatement,
emissions, pollution and abatement costs profiles. The comparisons of the effects
of both environmental policies on macroeconomic variables are thus allowed.
We observe that the transition induces in both cases a drop in production,
but that this drop is less important in the case of the monetary policy compared
to the tax (−0.5% against −2% respectively). The return is also faster in the
monetary policy case (5 quarters against 10 for the tax scenario). For the
consumption, the initial loss are respectively 0.2% and 2.5%, or a net gain for
the monetary policy. The return to the steady-state consumption level is done
in aboutu 10 quarters. We then observe that the scope of the adjustment of the
hours worked is much more important than in the case of a tax, inducing high
fluctuations on the job market. The model we use cannot help us being more
precise on the nature of these adjustments: sectors, type of working profile, ...
The transition is much smoother in the case of the monetary policy. In this case,
the hours worked only fluctuate by a few tenth of percentage, against more that
10% in absolute value in the case of the tax.
The investment behavior is radically different from one environmental policy
to another, both in sign and scope. Here again, the scope is much weaker in the
case of the monetary policy but, what is more noticeable, the investment increases initially and then decreases, while it is temporarily negative in the case of
a tax. This important result is in line with our predictions, and with the results
known from the advantages of industrial policies, which are in priority focused
on the investing needs and not on the internalization of the carbon externality.
In conformity with this result, the credit increases in the case of the monetary
16
policy (once the shock has occured) while it permanently drops in the case of
a tax. This increase of credit does not affect the net worth of entrepreneurs,
which experiences some similar profiles (except in the first two periods) in both
scenarios. The monetary policy does not consist in subsidizing the financial
industry, which is neutral from the point of view of the financing tool, and does
only serve as a channel. At the end, as in the case of the production and consumption functions, the effect on inflation is once again differentiated in scope,
and less important in the case of a monetary policy.
Whatever the macroeconomic variables considered, we thus observe a lesser
scope of the adjustments after an incremental increase of the level of abatement
in the case of a monetary policy scenario in comparison with a carbon tax
scenario. For some variables, and notably for the production, the adjustment is
also faster, which is one of the strongest arguments in favor of such a policy.
5.2.2
Some remarks on intermediary results
The results obtained through this DSGE modelization of a carbon monetary
tool tend to confirm most of the arguments initially made in favor of such a
tool. However, these results remain only preliminary in a number of ways. In
particular, one can ask in which way the free quality of the emission reductions
in the case of a monetary policy dominates and explains most of the results,
and notably the bias in favor of these policies. In order to remove the uncertainty on these questions, two types of analysis could be made: one to compare
the monetary policy to a simple industrial policy of subsidies through public
funds, the other to measure, through a sensitivity analysis on the parameter
p1 and p2 , the value for the State of the decrease of the opportunity cost of
the financing of the bank conditionaly to a certain level of abatement. Other
improvements could imply an analysis of the progressive increase of the environmental policies. Finally, inserting a climate damage function or some kind of
value of the environment in the utility function of the representative household,
we could possibly calculate in each scenario the optimal environmental policies
in response to exogenous shocks and test the hypothesis that optimal monetary
policies are more stable in face of economic cycles.
6
Conclusion
Awarding carbon certificates for mitigation projects would shift funds away
from other investments. This is a benefit; not a problem. The world has a vast
pool of savings and a lack of productive investment opportunities leading to investment in speculative assets (including housing) and the creation of bubbles.
Shifting some of the savings from such speculative investments to low risk mitigation projects such as industrial energy efficiency, energy efficient buildings,
renewable energy sources, and waste management would yield both financial
and environmental benefits.
To mobilize funds, banks would create climate-friendly financial products to
attract savings from households looking for safe and sustainable investments.
The investments are safe because the value of the emission reductions is determined by the SCC, which is set in advance, and the emission reductions achieved
are certified by an accredited independent body.
17
The proposed system could be launched unilaterally by a small group of willing countries. However, for reasons of credibility and efficiency implementation
by a relatively large group of industrialized countries is preferable. This would
mean a common value for the social cost of carbon and a single international
Supervisory Body.
The proposed system would complement, rather than replace, the recently
established Green Climate Fund. The Green Climate Fund is likely to receive
most of its funds from budgetary contributions and small taxes on financial
transactions, international shipping emissions and international aviation emissions. It could also receive part of the carbon assets. Since the proposed system
increases private investment in mitigation measures, it would increase the leverage effect of highly rated carbon based bonds to attract institutional investors
by offering a slightly higher return than regular safe bonds.
In summary, the proposed system would create a carbon price signal (through
the SCC) while being politically acceptable because it does not impose direct
costs on firms or consumers. It also stimulates mitigation efforts efficiently without imposing demands on industrialized country government budgets. It will
also help to divert a share of private savings from speculative assets to productive low-carbon investments. Hopefully, the scale of this system could be large
enough to make a significant contribution to the global mitigation effort and to
stimulate economic growth.
Réponse dynamique des variables macroéconomiques à un choc sur la productivité − outil monétaire
−0.2
−0.3
−0.4
−0.5
0
5
10
0.3
0.25
0.2
0.15
0.1
15
0
5
0.08
0.06
0.04
0.02
0
5
10
Points de base annuels
10
5
10
0
−0.05
0
5
H.
−3
15
5
0
15
x 10
10
0.05
0
1
18
5
10
15
I: Heures travaillées
2
10
15
0.1
15
3
5
10
0.15
Choc sur la productivité, εt
4
0
5
F: Consommation
0.05
15
G. Ecart de taux
0
0.1
0.05
0
Pourcentage de déviation
Etat stationnaire
0.1
0.15
15
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
0.12
10
0.2
E. Richesse nette
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0.14
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
−0.1
15
−1
−1.5
−2
0
5
10
15
Réponse dynamique des variables macroéconomiques à un choc sur la productivité − taxe carbone
−0.1
−0.2
−0.3
−0.4
−0.5
0
5
10
0.3
0.25
0.2
0.15
0.1
15
0
5
0.08
0.06
0.04
0.02
0
5
10
0
−0.05
15
0
Déviation − Etat stationnaire
Points de base annuels
10
5
10
5
H.
−3
15
5
0
15
x 10
10
0.05
0
5
10
15
I: Heures travaillées
2
1
10
15
0.1
15
3
5
10
0.15
Choc sur la productivité, εt
4
0
5
F: Consommation
0.05
G. Ecart de taux
0
0.1
0.05
0
Pourcentage de déviation
Etat stationnaire
0.1
0.15
15
Pourcentage de déviation
Etat stationnaire
0.12
10
0.2
E. Richesse nette
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0.14
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
−1
−1.5
−2
15
0
5
10
15
Réponse dynamique des variables macroéconomiques à un choc sur la productivité − pas de politique environnementale
−0.1
−0.2
−0.3
−0.4
−0.5
0
5
10
0.3
0.25
0.2
0.15
0.1
15
0
5
0.08
0.06
0.04
0.02
0
5
10
Points de base annuels
10
5
10
0
−0.05
0
5
H.
−3
15
5
0
15
x 10
10
0.05
0
5
10
15
I: Heures travaillées
2
1
10
15
0.1
15
3
5
10
0.15
Choc sur la productivité, εt
4
0
5
F: Consommation
0.05
15
G. Ecart de taux
0
0.1
0.05
0
Pourcentage de déviation
Etat stationnaire
0.1
0.15
15
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
0.12
10
0.2
E. Richesse nette
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0.14
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
15
−1
−1.5
−2
0
5
10
15
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19
Réponse dynamique des variables environnementales à un choc sur la productivité − outil monétaire
−3
x 10
−4
A. Pollution − Stock
x 10
3
6
5
4
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Déviation − Etat stationnaire
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B. Emissions − Flux
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2
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E. Coût marginal
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−1
0
−2
−0.5
−3
−1
−4
−1.5
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Choc sur la productivité, εt
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1.5
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10
4
3.5
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2.5
2
1.5
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0.5
−2
0
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0
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10
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Réponse dynamique des variables environnementales à un choc sur la productivité − taxe carbone
−3
x 10
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A. Pollution − Stock
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4
3
2
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0
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x 10
−2
−3
2
−4
1
2
10
15
Choc sur la productivité, εt
4.5
5
3
3
E. Coût marginal
−1
4
4
15
0
6
5
−1
−3
−6
x 10 A. Coûts des abattements
8
Déviation − Etat stationnaire
6
Déviation − Etat stationnaire
0
8
Déviation − Etat stationnaire
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
7
4
3.5
3
2.5
2
1.5
1
0.5
0
0
5
10
15
−5
0
5
10
15
0
5
10
15
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20
Réponse dynamique des variables environnementales à un choc sur la productivité − pas de politique environnementale
−4
A. Pollution − Stock
x 10
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
8
6
4
2
−12
B. Emissions − Flux
x 10
C. Abattements
0
5
−2
12
Déviation − Etat stationnaire
−3
x 10
10
10
8
6
4
2
−4
−6
−8
−10
0
0
0
5
10
15
0
5
−3
−21
x 10 A. Coûts des abattements
1
x 10
10
15
F.
−3
E. Coût marginal
x 10
Déviation − Etat stationnaire
Déviation − Etat stationnaire
0
3
−1
2
−2
1.5
−3
1
−4
0.5
15
Choc sur la productivité, εt
4.5
3.5
2.5
10
4
3.5
3
2.5
2
1.5
1
0.5
0
0
5
10
−5
15
0
5
10
15
0
5
10
15
Réponse dynamique des variables macroéconomiques à un choc sur le risque − outil monétaire
−0.1
−0.2
−0.3
0
5
10
−0.5
−1
−1.5
−2
−2.5
−3
15
0
−0.8
−1
Points de base annuels
40
30
20
10
5
10
−3
0
0
−2
−3
−4
−5
15
0
5
10
−0.3
−0.4
−0.5
−0.6
0
5
10
15
I: Heures travaillées
0.016
0.014
0.012
10
15
−0.2
15
0.018
5
10
−0.1
H. Choc sur le risque, σt
0
5
F: Consommation
−1
15
G. Ecart de taux
0
−2
−2.5
15
Pourcentage de déviation
Etat stationnaire
−0.6
10
10
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−0.4
5
5
−1.5
E. Richesse nette
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
15
−2
−4
−6
−8
−10
0
5
10
15
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21
Réponse dynamique des variables macroéconomiques à un choc sur le risque − taxe carbone
−0.1
−0.2
−0.3
0
5
10
−0.5
−1
−1.5
−2
−2.5
−3
15
0
−0.8
−1
Points de base annuels
40
30
20
10
5
10
−3
0
0
−2
−3
−4
−5
15
0
5
10
−0.6
0
5
10
15
I: Heures travaillées
0.016
0.014
0.012
10
15
−0.4
15
0.018
5
10
−0.2
H. Choc sur le risque, σt
0
5
F: Consommation
−1
15
G. Ecart de taux
0
−2
−2.5
15
Pourcentage de déviation
Etat stationnaire
−0.6
10
10
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−0.4
5
5
−1.5
E. Richesse nette
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
−2
−4
−6
−8
−10
15
0
5
10
15
Réponse dynamique des variables macroéconomiques à un choc sur le risque − pas de politique environnementale
−0.1
−0.2
−0.3
0
5
10
−0.5
−1
−1.5
−2
−2.5
−3
15
0
−0.8
−1
Points de base annuels
40
30
20
10
5
10
−3
0
0
−2
−3
−4
−5
15
0
5
10
−0.6
0
5
10
15
I: Heures travaillées
0.016
0.014
0.012
10
15
−0.4
15
0.018
5
10
−0.2
H. Choc sur le risque, σt
0
5
F: Consommation
−1
15
G. Ecart de taux
0
−2
−2.5
15
Pourcentage de déviation
Etat stationnaire
−0.6
10
10
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−0.4
5
5
−1.5
E. Richesse nette
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
D. Production
0
C. Investissement
Pourcentage de déviation
Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0
15
−2
−4
−6
−8
−10
0
5
10
15
of carbon? A mapping of the climate debate. Nota Di Lavoro.
Quinet, A., Baumstark, L., Célestin-Urbain, J., Pouliquen, H., and Auverlot,
D. (2009). La valeur tutélaire du carbone. Rapport du Conseil d’Analyse
Stratégique, 16:5.
Shukla, P. and Dhar, S. (2011). Climate agreements and india: aligning options
22
Réponse dynamique des variables environnementales à un choc sur le risque − outil monétaire
−3
A. Pollution − Stock
x 10
−3
B. Emissions − Flux
x 10
C. Abattements
0
5
8
Déviation − Etat stationnaire
−0.03
−0.04
−0.05
−0.06
−0.07
−4
−5
−6
−7
−8
0
5
10
15
−4
x 10 A. Coûts des abattements
5
−4
2
3
0
2
−2
1
x 10
10
4
2
0
−2
15
10
15
H. Choc sur le risque, σt
E. Coût marginal
0.018
−4
0
−6
−1
−8
−2
6
−4
0
4
Déviation − Etat stationnaire
−3
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−0.02
Déviation − Etat stationnaire
−2
−0.01
0.017
0.016
0.015
0.014
0.013
0.012
−3
0
5
10
15
−10
0
5
10
15
0
5
10
15
Réponse dynamique des variables environnementales à un choc sur le risque − taxe carbone
−3
A. Pollution − Stock
Déviation − Etat stationnaire
−0.03
−0.04
−0.05
−0.06
−0.07
−3
−4
−5
5
10
15
−5
x 10 A. Coûts des abattements
0
5
−3
−1
0
−2
−0.2
x 10
10
0
5
1
0.5
0
−0.5
10
15
H. Choc sur le risque, σt
E. Coût marginal
0.018
−0.6
−4
C. Abattements
1.5
15
−0.4
−3
x 10
2
−1
−6
0
Déviation − Etat stationnaire
−2
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−0.02
−14
B. Emissions − Flux
Déviation − Etat stationnaire
x 10
−0.01
−0.8
−5
0.017
0.016
0.015
0.014
0.013
0.012
0
5
10
15
−1
0
5
10
15
0
5
10
15
and opportunities on a new track. International Environmental Agreements:
Politics, Law and Economics, pages 1–15.
Tol, R. (2008). The social cost of carbon: trends, outliers and catastrophes.
Economics: The Open-Access, Open-Assessment E-Journal, 2(25):1–22.
Watkiss, P. and Downing, T. (2008). The social cost of carbon: Valuation
estimates and their use in uk policy. Integrated Assessment, 8(1).
23
Réponse dynamique des variables environnementales à un choc sur le risque − pas de politique environnementale
−3
A. Pollution − Stock
x 10
−11
B. Emissions − Flux
−0.02
−0.04
−0.06
−0.08
−0.1
5
10
−4
−5
−6
−7
−8
−9
15
−20
x 10 A. Coûts des abattements
5
x 10
10
C. Abattements
0
5
1
0
−1
−2
−3
−4
15
10
15
H. Choc sur le risque, σt
E. Coût marginal
0.018
−0.2
−1
x 10
−5
0
−3
0
−0.5
Déviation − Etat stationnaire
−3
Déviation − Etat stationnaire
0
Déviation − Etat stationnaire
Déviation − Etat stationnaire
Pourcentage de déviation
Etat stationnaire
−2
−0.4
−1.5
−0.6
−2
−0.8
0.017
0.016
0.015
0.014
0.013
0.012
−2.5
0
5
10
−1
15
0
5
10
15
0
5
10
15
Réponse des variables macroéconomiques à un abattement plus élevé − outil monétaire
0.2
0.15
0.1
0.05
5
10
0.6
0.4
0.2
0
15
0
Pourcentage de déviation
Etat stationnaire
−0.08
−0.1
−0.12
−0.14
−0.16
10
0.4
0.2
0
−0.2
0
5
10
−15
15
0.2
0.1
24
10
15
−0.4
−0.5
0
5
10
15
I: Abattement
0.15
5
10
−0.3
15
0.25
0
5
−0.2
Pourcentage de déviation
Etat stationnaire
Pourcentage de déviation
Etat stationnaire
Points de base annuels
0
H: Heures travaillées
−10
10
0.2
F: Consommation
0.6
15
−5
5
0.3
15
0.8
G. Ecart de taux
0
10
0.4
E. Richesse nette
−0.06
5
5
Pourcentage de déviation
Etat stationnaire
D. Production
0
C. Investissement
Pourcentage de déviation
Etat stationnaire
0.25
0
Déviation − Etat stationnaire
B. Crédit
Pourcentage de déviation
Etat stationnaire
Points de base annuels
A. Inflation
0.3
15
1
0.8
0.6
0.4
0.2
0
0
5
10
15
Réponse des variables environnementales à un abattement plus élevé − outil monétaire
A. Pollution − Stock
B. Emissions − Flux
C. Abattements
1
−0.8168
−4
−6
−8
−10
−0.817
Déviation − Etat stationnaire
Déviation − Etat stationnaire
Déviation − Etat stationnaire
−2
−0.8172
−0.8174
−0.8176
−0.8178
−0.818
−0.8182
0.8
0.6
0.4
0.2
−12
−0.8184
0
5
10
15
Déviation − Etat stationnaire
−3
x 10 D. Coûts des abattements
0
5
−3
2
x 10
10
15
E. Coût marginal
6.698
1.5
6.696
1
6.694
6.692
0.5
6.69
0
5
10
15
0
0
5
25
10
15
0
0
5
10
15