气候变化下自然灾害抗灾投资的宏观经济回报：DSGE方法（英）

TheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:ADSGEApproach EmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuerson WP/23/138 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JUN ©2023InternationalMonetaryFundWP/23/138 IMFWorkingPaper WesternHemisphereDepartment TheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:ADSGEApproach PreparedbyEmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuerson* AuthorizedfordistributionbyChristophDuenwald,SòniaMuñoz,andAndrewBerg June2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:ThispaperpresentsaMarkovswitchingdynamicstochasticgeneralequilibriummodeldesignedtoevaluatethemacroeconomicreturnofadaptationinvestmenttonaturaldisasters(NDs)andtheimpactofclimatechange.WhilethemodelfollowstheexistingliteratureinassumingthatNDsdestroyashareofthepublicandprivatecapitalstocksandagovernmentthatcaninvestinadaptationatanadditionalcost,itaddsseveralfeaturesthatarekeytotheanalysis,bothinthenear(transition)andlong(steadystate)terms.Thoseincludeincompletemarkets,financialfrictionswithcollateralconstraints,foreignremittances,fullmenuoftaxandgovernmentspendinginstruments,andendogenousclimateriskpremium.ThemodeliscalibratedtothecaseofDominica.ItfindsthatNDshavelargeandpersistentnegativeeffectsonoutputandpublicfinances.Italsoshowsthatadaptationinvestmenthaslargereturnsintermsofprivateinvestment,employment,outputandtaxrevenueinthelongterm,especiallyunderclimatechange. JELClassificationNumbers: E44,E62,F35,H54,H63,O23,Q54 Keywords: naturaldisasters;climatechange;DSGE;resilientcapital;financialfrictions;Dominica;climateadaptationpolicies Author’sE-MailAddress: efernandezcorugedo@imf.org;agonzalezgomez@imf.org;aguerson@imf.org *TheauthorswouldliketothankSòniaMuñoz,AndrewBergandtheparticipantsinseminarsattheInternationalMonetaryFundandtheEasternCaribbeanCentralBankforinsightfulcommentsandsuggestions. WORKINGPAPERS TheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:ADSGEApproach PreparedbyEmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuerson1 1TheauthorswouldliketothankSòniaMuñoz,AndrewBergandtheparticipantsinseminarsattheInternationalMonetaryFundandtheEasternCaribbeanCentralBankforinsightfulcommentsandsuggestions. Contents Introduction6 ModelDescription9 ModelCalibrationandSolution11 ImpactofClimateEvents16 ClimateAdaptation:ReturnofInvestinginInfrastructureResilienttoNaturalDisasters18 ReturnstoAdaptationInvestmentwithClimateChange20 SensitivityAnalysis:InspectingtheMechanism24 A.IncreasingPublicReconstruction24 B.AlternativeFiscalInstruments:ConsumptionandLaborIncomeTaxes25 C.AlternativeAdjustmentCostsofInvestment27 Conclusion28 References31 AnnexI.FullModelPresentation34 I.Households34 RicardianHouseholds34 WorkerHouseholds35 II.UnionProblem35 III.InvestmentProducers35 PrivateInvestmentProducers35 PublicInvestmentProducers36 IV.ConsumptionGoodProducers36 V.DomesticProducers37 FinalOutput37 VI.Government38 VII.BalanceofPaymentsandExternalSector39 VIII.SummaryoftheFirstOrderConditions39 IX.De-trendedFirstOrderConditions41 X.TheSteadyState44 AnnexII:TechnicalDescriptionoftheToolbox48 BOX 1.MacroCriticalclimaterelatednaturaldisasters:thecaseofDominic12 FIGURES 1.ModelStructure10 2.Short-runresponsetoNDevent17 3.Short-rungainstoresilientcapitalafterNDevent20 4.Short-runimpactofmoreintenseNDeventwithclimatechange21 5.Short-rungainsfrommoreresilientcapitalwithmoreintenseNDevents23 6.Short-runresponsetoNDeventwithpublicreconstruction25 7.Short-runresponsetoNDeventwithalternativefiscalrules26 8.Short-runresponsetoNDeventwithalternativecapitaladjustmentcosts27 TABLES 1.ModelsincorporatingNDsandAdaptationInvestment8 2.Model’sParameters14 3.MomentCalibrationSummary15 4.Long-runimpactofnonaturaldisasters18 5.Long-runestimatesofadaptation19 6.Long-runimpactofmoreintensenaturaldisastersvs.baseline22 7.Estimatedlong-runbenefitsofadaptation23 Introduction Climate-relatednaturaldisasters(NDs),whichareontrendtogrowwithincreaseintheirintensity andfrequencyunderglobalwarming,recurrentlycausehumanandeconomicloss.Thisimpacthasbeenparticularlycatastrophicinsmallstateslocatedinhighlyvulnerableareas,especiallyintheCaribbeanandinthePacificwhere,giventheirsmallsize,NDsaffecttheentireeconomy,leadingtolargelossesofmacroeconomicproportions(e.g.Raddatz,2009;Mendelsohnandothers,2011;Loayzaandothers,2012,Fombyandothers,2013;Acevedo,2014,Lianandothers,2021,Akyapiandothers,2022amongothers).2Giventhis,manyaffectedeconomiesareplanningextensiveadaptationinvestmenttoachievephysicalandfinancialr