长期资本市场回报在气候变化时期：美国操作手册的教训

Allianz Research Long-run capital market returns in Lessons from the American playbook Allianz Research SummaryExecutive •The materialization of physical climate risks is driving up disaster-relatedcosts, which will ultimately translate into increased economic volatility,higher average inflation and lower real growth. What will this mean forinvestors?In this report, we try to answer the three biggest questions bylooking at US markets. First, through which channels will climate change affectyour portfolio? Second, what will it mean for expected returns in different Bjoern GriesbachSenior Investment Strategist &Eurozone Economist Pablo Espinosa UrielInvestment Strategist, EmergingMarkets & Alternative Assets •Interest rates are set to fall and even become negative in real terms in the2040s.Long-term interest rates are projected to decline, averaging around2.5% until 2050 with only minor differences across different climate scenarios. Jordi Basco CarreraLead Investment Strategistjordi.basco_carrera@allianz.com •Equity investors will face a future of higher risks and lower returns amidrising risk premia and lower dividend growth.Investors are likely to discountfuture returns at a higher rate due to increased physical and transition risks,which would compound the slowdown of economic growth. Annual total equityreturns are set to fall on average to 5.4% until 2050 (Below 2°C) and 4.7%(Current Policies), yielding still slightly positive real returns at the end of the •From 60/40 to 40/60 – the optimal portfolio allocation could shift in thefuture.An increase in negative supply shocks amid climate change will reducethe effectiveness of bonds as a hedge against equity volatility while at thesame time reducing the risk-return profile of equities. Optimizing risk-adjustedreturns would call for more bond-heavy portfolios. Nevertheless, the average •25% higher equity prices in 2050 – the reward for keeping temperature riseBelow 2°C.On top of all the other positive effects, prioritizing the fight againstclimate change would also pay off financially. In this context, it is essentialto raise awareness and prepare monetary policy accordingly. Institutional The structural challengesfor financial markets Physical climate risks are already materializing,with disaster costs from storms, floods and droughtsrising strongly.Climate change typically affects themacro-financial outlook through two channels: physicalrisks and transition risks. Physical risks emerge dueto the tangible impacts of climate change, such asextreme weather events, rising sea levels and naturaldisasters, which can directly damage assets and disruptoperations. Physical risks have become increasinglyevident especially after recent climate anomalies Climate change needs to be incorporated not onlyin macroeconomic outlooks but also in financialmarket forecasts.Not long ago, we looked intohow the 5Ds – i.e. demographics, decarbonization,deglobalization, debt and digitalization – willstructurally affect inflation in particular, and the wholemacro-financial landscape in general². In this report,we focus on the implications for capital marketsand at the same time broaden our view on different economic output each year. By 2050, the annual costswould rise to more than USD1trn in today’s prices(Figure 1). If homes, factories, bridges and other partsof the fixed capital stock used for economic production Physical risks or transition risks or both?Besides thematerialization of physical risks, there are downsideeffects on growth stemming from transition riskstowards mitigating climate change. Transition risksarise from the shift towards a low-carbon economy,encompassing regulatory changes, carbon taxes, structured potential future outcomes with respect toclimate change in a transition vs. physical risk matrix(Figure 2). If for example governments globally do notspeed up the fight against climate change and stick to“Current Policies” this would keep transition risks ratherlow but therefore we would steer towards a hot house today – an average growth of +0.9% per year. Goingforward, the working-age population is set to stagnate. Thegrowth boost of almost 1pp from the past will therefore beno longer applicable to the future as more people producemore output and vice versa. There are some structural Next to climate change, other structural trendsimpacting long-term economic and financial outlooksmust not be forgotten with the demographic slow-down still the most dominant one.Next to physical and transition risks from climate change, decliningpopulation growth remains among the key drivers ofslowing economic growth in the years to come. Figure 3shows that since 1980 the US working-age population(aged 15-65) has risen from less than 150mn to 220mn common that future growth is much lower than in the past.However the range is quite large, with growth becomingnegative from 2039 in the climate catastrophe scenario ofOxford Economics to a constant +2.1% growth