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Link to original content: http://www.ecb.int/pub/pdf/scpwps/ecb.wp2477~e636f9c496.en.pdf
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Mߊyu>.N5K)Wb٬8i[_uʕMzQ)V(Txޢjy!Z2P="Zd0\ÃGR\).2*Шa!U,H`+j.5Nα@VK-x%3%AYӀzΚ>kP#5m0Woþj.ZT$X/)n)#Wo(oRZ $Kp4Z-b\1ܰJ P"GXQi/8k^Zq:Zs9dB )sL-7xJ`aɽ)f$1 dъcCZC<73JgznHȰYɚTa,_-O87}KԴܗLloK+gJ.GZyVc48Wt]:P~`rZq.n1] S/Pu7Ue:?&?!d&1yHn5)yғBx#1ޞ]Go׏M?X endstream endobj 101 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRd{nCN8oͰof-%6'&9Pu`L/"tkں(a[ duS $xqa MN{}m}gىx` tw8y*sύ }nFE>7*QύR>7G];~<6OIyktg>O:yұϓN|I/|yIg>O:y҅ϓ.}2 L> stream xmTn0CƆ@LE"v[5j 8-RC~8iZ)Ayo7?nkNy$냛G׎]}==nTشxGɛz?{mg;L觑Ҍ}KZ]׊St2ZkmwG>Sϭ5/@!'0j+~VG2ۏ莛>i>X]0}j74"t{wJ˥݁ѬvG߇n|N6jwwv Z/բ,ko{&ᒛPaffIq XMJ0LfhrdĥP2O'\8i!+e8I++7>\ÇzTao 7^R}ף|]O/Ar endstream endobj 104 0 obj <> stream x]ٮ$q}_Q<=ӏ@ LR ehK{lj%32:\#Ή>v HۧjS[(m=nb8rj{ 4zR߶o_<HJoڞg|fm8ʡ߽AҗOaIUMX{ "HUVD{na$SIr_b;h#zEK^(!U];\pLGh{*Ҕiԇb! cQx4&*ܮbӑ9GS >;﹪H=qXw:ܱG&"I1IJ}QԹ"uK'T{V2š Qt }I}iH_K1S[91fڸg؜PubsbٓNlتt"*=U{҉B[R'PNX{*]/@E +ԮbC&bKi^\TN127AA@"؛ FHD[QWǘI HbXQOj()ZN2-1)FW[ת"Ege2S:Q zVH&b#!n F0:Z&Ssu{܏0Ŧ3ӞXjWk&vӽ5eRFxq )Z{C8\G^Ltm2'q]rPgF8+ɢr5LFiY5\!3),3^ԬËЇϱ7 9FpkKd0:ǴZx,UuLGV̔JC)7~dx:QLN oܓ G25MF'L&332E2(MSnڹK6MOےWKnŢ&=4a WMvt ǒB^Ϯ7<{+v|&)b2|/,|Zm>klBndj[pN1!#23۔a2v撇M*\g7|M*g\rWOj25fq,pz8:n^dECKn6MkS,qdYN嬡>>k8i5Cz…ڂ,&w9L&D/uDa.ytp&g \rWoO=IѓJO6= ԓVOfu3bǓ{v1mǿ=)'K)|+5 x  5K` a让wAJqvqqΙ1 "r#NrA&zr)r+r.hk$4m;k34:[s@tBCtEotQH\KTѵTàg "^#ԫ/.*b.º+.*b+>b.2.b..:b.3">>."..G2. . %M]5n\5K4KʲԋKȸ4Kވ ~FCW _e\ie\Ng\e\e\^eV mN6'G̩:lYsܹ \)•6\ĕ^\)Ǖ\ɕ\)̕\Ε\)уGO?,Ny/~iƈ>k8g^a"H a_3ojk-0Z@lsevFJ=9 7es`xmۍV5 8Yhup:O&.m^ԋ h -^n,[5osUJ^"~eHʦR9p;ύr#ZCܷ亶)mMQ~g&ЩGYa2&P\ t#k6N Z˦VcenX֑ݨ3ͻ8j22P$O7/Ï @_hd$tqdnX&Nq&:1>h (ut/{kbG t<m:U:>Gqt΍QO|?4>SM{@x\D&XWy f޹ 2x9'\S7l ZoL@`@q&HѦ< R@T }S*&n"<5\)Ѳ>6!QF॥ Nlxr_VHV&_o u^yh&Vؐ3E&[Co蛖 Z^f}M ڢ FQ@e{tB$tL&ֲQnB;GMY y*^gQuSßyю)<$Js8[y Iny>wIʶY"?) bǣ&z2;j` M Jzed'}LڞYvFR|VKx0?60^ PVg)ShQys3VDO"u]"e&+"M+)"FHQcIQU:IQ$EB5 u-VTt"E"b>VF#EI8Pm-n1ʈORNeE@0 &+8cE` ›V6(!UefQ(MV`Uh(nڑ"4]i" QPx0wh(1R*1G'R:HQI`HȺ9Rıl"1;ɊʲјH&eŠセOBcgBOR}SN".9Kh0hUgU2 R6t+ 50ؗ* "a a4 O`n24HXK8$6TIu-T{YaE{\ Ӎ%, 73 j,;EWfdDz٩̬`1$$ߤLIB^R"4/%b4q#bE;hD ;9AXk[<);7'"aaXwT@=*+Q[&)ðN)`=)]lj;cbثG'cbCy11 ݶ5&P$ol+&113aBŐc\S>GE暃UFƒ^Z|&9Jư4g%O힌0)`&djadLP1ZMb2Fˑ1#~X %gBP#dCCJFȔm1uc4uUav| 0Inۚ$d>婲AI&F3O\*=4Y<y aXBҸQ2;r)%Q2ٷTmjh3VGMV֌q)^ [229Y>qpH4,X^96NFw'J.U(S2FцD:d.t ΡQN&0'K<۔픩͑2%&F/9UZ;;U;2`U;U;^h$חyk t7GϱA7 ށv(UocѯLoLolQø?/7KS#<m:k:dj1or߼2%GKy䛇+KZjWE^_Ζ-ul_G̖ݯu=6#kEVi~śެo^Ķt<㣗))r\8)#ed卭1a |z4)&@S`ԡ3/^d[Ro}H[\EE. A!o>?A Y9~<5ɋO?~Gč;__\˄%*e:TZo^|mJypM[=KZ:?\'/ݦHHrt$oVL6٣gvaW w ݩ;WLNT|W3W_jڇU5SSW ]G'UT㽊NN*}{:in:Pѱf:frV{ס,9jFⰋ{Y>hXb0=6E|Ϳ6q)CŮM K )_ ⇛ZՑR$3y:,>3y:"?g}8@%+zhAdj /UU *?P5T0܂ $ʯ 7}rM`l&Xgn ^kE+jfU\ ئL -]*zZ ,J}Z\bUǡEu%iꋺZY])uy*`;T* |w2@y* Jڮ`Dw6"Lj(ĤWp>E+ Y_!l.@~"aDp&`T7"5/&Wj25e : gm=-nBjLʗUmDg(p#e5r-' |ΕD#Aqh}e5-s}egpEz< (e%W\W0j\(Ai83a)/7_)JSÕG.ʡP&x'*sZM+>sLůbkAyL-^xo榥=q "]ސ(wsœyٹp&MI) u&W^?m|hb Xc`zQ?1RƗ-Aqj$IgWnJxܮE#7⥍?``#@}y&5\D#TW5/3`mA֒ZêIκ hal㨀T 9Jǹ%?[}L/LQ:E(lN"wJY0X(-dY})}2k_)/O c2jXxaJ@lbIa78 QCJ١ka> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRd{nCN8oͰof-%6'&9Pu`L/"tkں(a[ duS $xqa MN{}m}gىx` tw8y*sύ }nFE>7*QύR>7G];~<6OIyktg>O:yұϓN|I/|yIg>O:y҅ϓ.}2 L> stream xmTn0CƆ@LE"v[5j 8-RC~8iZ)Ayo7?nkNy$냛G׎]}==nTشxGɛz?{mg;L觑Ҍ}KZ]׊St2ZkmwG>Sϭ5/@!'0j+~VG2ۏ莛>i>X]0}j74"t{wJ˥݁ѬvG߇n|N6jwwv Z/բ,ko{&ᒛPaffIq XMJ0LfhrdĥP2O'\8i!+e8I++7>\ÇzTao 7^R}ף|]O/Ar endstream endobj 108 0 obj <> stream xmTMo0Wx$ ! 8l[jWHL7IPV=M̼ su;Uٛ=w]yil;<[[j<=?׾+v`&ߴț<^*;~&Q>MS'K}v}tƾ`R\ws*pWl:*;m_Ű=EB.=]6E%‡hWvE;^N ƣՊU ٟweӟQ?OIz^UU|ڕߵ6ZrbˢXEIS:.trA&TH>4"PX H BM@5*08WfH AX v.2I## .zӘˈ0Qa8tcpN0A2 @݆s>^l>^wo_j4Rrtsľ x[%QLuQ.ݢT ܂PKߗp#}߂pMAM37CB2>*R{@8񩎤3 }c$f O#z  ) spW)9N{=g-_Z ~YK/t:/~e}Y%៍-t:UEk nmGkp\x{)ނ endstream endobj 109 0 obj <> stream xmTMo0Wx$ ! 8l[jWHL7IPV=M̼ su;Uٛ=w]yil;<[[j<=?׾+v`&ߴț<^*;~&Q>MS'>u;q~:fc_0F)lGιmu f8Gӫ6b"!YUe.`M{My?IC4}+̝l/Bj*{pϻƲO('$ *{>J-9_eQ"V$)MP:^9 ^` br @ {@(\,RH&ti m+3ԅ ,;F$БzFFieD(0A1a8yΠFpnù[w6p@ )9r9b_ia|F-(:(nQHY^`nA|n(戥K}s\}sԑoA&vqc⠦ YK^ʛ!_my_)=^ ^{TGRw1RDž'xJzImi9j'pͽܳ/-_Z,N_: ~iyY2q,nЪ5QN Y58.] endstream endobj 110 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRx=7i'Էf[7̖s ~ts[(:0p l:5m_-tB}W{X8 jw]lj'OC=6}Ӿ|< D0,6;96ݕq4L MUWqS~Ӿ |Ҳ\Khv7RKs|*Z -1 b[d08A  i$C#.CZ\wF|TT<\`Gc)y ,<$g v1a粳[ RHדL1>g~8 䔷5 B{ $.  3qdAEBu7js"ܨF)EYQУ.?yRmTy'oOz>OZOyʄS&}/6>zչ{ZkZs}=?Fey endstream endobj 111 0 obj <> stream xmUMo:W5?$R. d9M eCkmCp;;w~>|3E_?O]5߶w]Occ]=~?}Oyh9%?۹׬B|Ɯ>);vz|N8}No)e0&h?q:P_ X}ac1+a  jҢ~]ߏ{_r)4i_px`!dZ>i]<U_cr%ͪcךv[\٤ժX*be-@E-X@-꩖xkM PY@ ,#bEA 5rEqIb>,彐A$ G#e"&c D`%rE*s(Ǩ5ثCI*=ǔ^pk+ ܛbVLbX+@8:13Jp3<|6 ^ΜANVjRy9cpסAM}Ė)|֪,+pp70h8J+NK}Eլk)up >o U^g{_e{]*?`CBhgiیtV;۳ѝ)(ZK7bA;E^]|sQ endstream endobj 157 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRd{nCN8oͰof-%6'&9Pu`L/"tkں(a[ duS $xqa MN{}m}gىx` tw8y*sύ }nFE>7*QύR>7G];~<6OIyktg>O:yұϓN|I/|yIg>O:y҅ϓ.}2 L> stream xmUMo:W5?$R. d9M eCkmCp;;w~>|3E_?O]5߶w]Occ]=~?}Oyh9%?۹׬B|Ɯ>);vz|N8}No)e0&h?q:P_ X}ac1+a  jҢ~]ߏ{_r)4i_px`!dZ>i]<U_cr%ͪcךv[\٤ժX*be-@E-X@-꩖xkM PY@ ,#bEA 5rEqIb>,彐A$ G#e"&c D`%rE*s(Ǩ5ثCI*=ǔ^pk+ ܛbVLbX+@8:13Jp3<|6 ^ΜANVjRy9cpסAM}Ė)|֪,+pp70h8J+NK}Eլk)up >o U^g{_e{]*?`CBhgiیtV;۳ѝ)(ZK7bA;E^]|sQ endstream endobj 159 0 obj <> stream xmTn0CƆ@LE"v[5j 8-RC~8iZ)Ayo7?nkNy$냛G׎]}==nTشxGɛz?{mg;L觑Ҍ}KZ]׊St2ZkmwG>Sϭ5/@!'0j+~VG2ۏ莛>i>X]0}j74"t{wJ˥݁ѬvG߇n|N6jwwv Z/բ,ko{&ᒛPaffIq XMJ0LfhrdĥP2O'\8i!+e8I++7>\ÇzTao 7^R}ף|]O/Ar endstream endobj 160 0 obj <> stream xmTMo0Wx$ ! 8l[jWHL7IPV=M̼ su;Uٛ=w]yil;<[[j<=?׾+v`&ߴț<^*;~&Q>MS'K}v}tƾ`R\ws*pWl:*;m_Ű=EB.=]6E%‡hWvE;^N ƣՊU ٟweӟQ?OIz^UU|ڕߵ6ZrbˢXEIS:.trA&TH>4"PX H BM@5*08WfH AX v.2I## .zӘˈ0Qa8tcpN0A2 @݆s>^l>^wo_j4Rrtsľ x[%QLuQ.ݢT ܂PKߗp#}߂pMAM37CB2>*R{@8񩎤3 }c$f O#z  ) spW)9N{=g-_Z ~YK/t:/~e}Y%៍-t:UEk nmGkp\x{)ނ endstream endobj 161 0 obj <> stream xmTMo0Wx$ ! 8l[jWHL7IPV=M̼ su;Uٛ=w]yil;<[[j<=?׾+v`&ߴț<^*;~&Q>MS'>u;q~:fc_0F)lGιmu f8Gӫ6b"!YUe.`M{My?IC4}+̝l/Bj*{pϻƲO('$ *{>J-9_eQ"V$)MP:^9 ^` br @ {@(\,RH&ti m+3ԅ ,;F$БzFFieD(0A1a8yΠFpnù[w6p@ )9r9b_ia|F-(:(nQHY^`nA|n(戥K}s\}sԑoA&vqc⠦ YK^ʛ!_my_)=^ ^{TGRw1RDž'xJzImi9j'pͽܳ/-_Z,N_: ~iyY2q,nЪ5QN Y58.] endstream endobj 169 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRd{nCN8oͰof-%6'&9Pu`L/"tkں(a[ duS $xqa MN{}m}gىx` tw8y*sύ }nFE>7*QύR>7G];~<6OIyktg>O:yұϓN|I/|yIg>O:y҅ϓ.}2 L> stream xmTn0CƆ@LE"v[5j 8-RC~8iZ)Ayo7?nkNy$냛G׎]}==nTشxGɛz?{mg;L觑Ҍ}KZ]׊St2ZkmwG>Sϭ5/@!'0j+~VG2ۏ莛>i>X]0}j74"t{wJ˥݁ѬvG߇n|N6jwwv Z/բ,ko{&ᒛPaffIq XMJ0LfhrdĥP2O'\8i!+e8I++7>\ÇzTao 7^R}ף|]O/Ar endstream endobj 188 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRd{nCN8oͰof-%6'&9Pu`L/"tkں(a[ duS $xqa MN{}m}gىx` tw8y*sύ }nFE>7*QύR>7G];~<6OIyktg>O:yұϓN|I/|yIg>O:y҅ϓ.}2 L> stream xmTMo0Wx$ ! 8l[jWHL7IPV=M̼ su;Uٛ=w]yil;<[[j<=?׾+v`&ߴț<^*;~&Q>MS'K}v}tƾ`R\ws*pWl:*;m_Ű=EB.=]6E%‡hWvE;^N ƣՊU ٟweӟQ?OIz^UU|ڕߵ6ZrbˢXEIS:.trA&TH>4"PX H BM@5*08WfH AX v.2I## .zӘˈ0Qa8tcpN0A2 @݆s>^l>^wo_j4Rrtsľ x[%QLuQ.ݢT ܂PKߗp#}߂pMAM37CB2>*R{@8񩎤3 }c$f O#z  ) spW)9N{=g-_Z ~YK/t:/~e}Y%៍-t:UEk nmGkp\x{)ނ endstream endobj 190 0 obj <> stream xmUMo:W5?$R. d9M eCkmCp;;w~>|3E_?O]5߶w]Occ]=~?}Oyh9%?۹׬B|Ɯ>);vz|N8}No)e0&h?q:P_ X}ac1+a  jҢ~]ߏ{_r)4i_px`!dZ>i]<U_cr%ͪcךv[\٤ժX*be-@E-X@-꩖xkM PY@ ,#bEA 5rEqIb>,彐A$ G#e"&c D`%rE*s(Ǩ5ثCI*=ǔ^pk+ ܛbVLbX+@8:13Jp3<|6 ^ΜANVjRy9cpסAM}Ė)|֪,+pp70h8J+NK}Eլk)up >o U^g{_e{]*?`CBhgiیtV;۳ѝ)(ZK7bA;E^]|sQ endstream endobj 191 0 obj <> stream xmUMo:W5?$R. d9M eCkmCp;;w~>|3E_?O]5߶w]Occ]=~?}Oyh9%?۹׬B|Ɯ>);vw;{>oaI> ѲH8U/RǾ0ñ_x0ӅxBiE.͏S=/b_ixމbc4fi|8EXD_R4.GRQhV̪xvqڎXJfUıkM;rͭSlҏ֋jU,N2@ ",   T[<5 1"àcvG@mg K | +T|5flxZ1YP^ꠦdb}[ה_Q>kUbw88]k|'%Ǿjց{ g䈏rsqk:n87xIue.Aft0!?4ɳ4mFtӔ^z1?z .~l-qG endstream endobj 192 0 obj <> stream xmUMo0WxvHUdC۪TBb A!Gp?gxYOTm$|՜s_Iss :L;268{zb/}WUjWm?fd}Oi=7gRx=7i'Էf[7̖s ~ts[(:0p l:5m_-tB}W{X8 jw]lj'OC=6}Ӿ|< D0,6;96ݕq4L MUWqS~Ӿ |Ҳ\Khv7RKs|*Z -1 b[d08A  i$C#.CZ\wF|TT<\`Gc)y ,<$g v1a粳[ RHדL1>g~8 䔷5 B{ $.  3qdAEBu7js"ܨF)EYQУ.?yRmTy'oOz>OZOyʄS&}/6>zչ{ZkZs}=?Fey endstream endobj 193 0 obj <> stream xmTMo0Wx$ ! 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'O? 'O?t9׀5 q H\׀5 q H\׀5 q HT 'OT 'Oȟ?!B ~ ewdew 'O@?~+2gϠA?~ 3gϠA?~ 3gϠA?~ 3gj 3 g0a8p 3 g0a8p J}GE)u-6=ǯsV\R3%5sI\R3%5sI\R3%5sI͛#lu5s]͛+Oo6w7z)n>hn7.krͣݠn-7hi5޽F n wfn2fAuG'7s۹!G׌ƺ!G֌Uܐc.q5έީq ͧC߿Eո7]5=׼ێ}n7P5xC{xdvwonȣN5Cwͧ?/?mkjmeܗ?]N㽇jϟ|Uut]nnȇwGC[ߩ15:ƠWИ4f2Lc&Ә{gODk(ʴ2-\gy~6p5]=6͵{k#59Ƀ]{[Whڛ^VcSvfdh}gfPמ݌kd3 ֧gkj%ktW\c)/8ek|7~k\T˦Ը|WKsuq7q5'ڷև q\vg^ŵޣڏVO-Vkv>ܵ_ߨ5^Y77{p>P ~~ƛG|,SC/3(i Zj{RWj: >콩j,RŦ6{q%և+<5Vƪ㚽ǺrGtfq}Rag7g]f|ܐgn37|R_7=jb_q5&/XSQx2mL!vȴ2mL9qt2L!qt2L!_M_hV9mL%_ϣ?y4f2|Uߝ$L{'_;=>at{2ݞ>stream application/pdf Green asset pricing This paper demonstrates that empirically grounding the discount factor significantly influences the determination of the carbon price. Using two complementary nonlinear statistical approaches, we assess which utility formulations and corresponding stochastic discount factors best align with U.S. data. We provide evidence that habit formation is essential for capturing the time variation in the stochastic discount factor necessary to match the data. This increased time variation raises the carbon price by 32% and makes it five times more procyclical compared to standard models. The heightened procyclicality reduces aggregate risk, the risk premium, and the need for precautionary savings. 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