Climate Risk and Macroeconomic Vulnerability in Côte d'Ivoire: Estimating Transmission Channels, Extreme Tail Risks and Adaptation Returns via a Bayesian CLIMADA–DSGE–AIN-CGE Framework

Donatien, Dayoro (2026): Climate Risk and Macroeconomic Vulnerability in Côte d'Ivoire: Estimating Transmission Channels, Extreme Tail Risks and Adaptation Returns via a Bayesian CLIMADA–DSGE–AIN-CGE Framework. Published in: Climate Risk and Macroeconomic Vulnerability in Côte d'Ivoire: Estimating Transmission Channels, Extreme Tail Risks and Adaptation Returns via a Bayesian CLIMADA–DSGE–AIN-CGE Framework , Vol. 1, No. Three research questions guide the analysis. (Q1) What is the magnitude of the cumulative macroeconomic multiplier of climate shocks in an identified DSGE estimated on Ivorian data, and how does it compare to the Koffi (2021) fiscal benchmark at the same (4 March 2026): pp. 1-50.

Abstract

This paper develops and estimates a structural Bayesian DSGE model with explicit climate productivity shocks for Côte d'Ivoire — the CLIMADA–DSGE–AIN-CGE framework — building on the Koffi (2021) macroeconomic backbone. The model integrates three analytically distinct blocks: a climate productivity factor Ω_t estimated via Metropolis–Hastings MCMC from CLIMADA–SODEXAM physical damage data; a calibrated Adaptive Input–Output Network (AIN-CGE) extension capturing sectoral propagation; and a separate Extreme Value Theory (EVT) analysis of damage tail behaviour using the Peaks-over-Threshold method. With a 90% nonRicardian household fraction, climate shocks transmit directly to aggregate consumption without intertemporal smoothing, generating a cumulative climate multiplier of −1.32 at horizon Q8 — approximately 1.6× the Koffi (2021) fiscal benchmark. The GPD shape parameter (ξ̂ = 0.278, CI₉₀: [0.197, 0.361]) statistically rejects the Gaussian assumption (LR = 48.3, p < 0.001), implying systematic under-provisioning of contingency reserves. Adaptation investment simulations yield B/C ratios above 2.1× across all robustness scenarios. The model is confronted with IMF, World Bank, and IPCC projections through qualitative directional comparison; all simulation results are conditional on the estimated DSGE structure and maintained modelling assumptions.

• Item Type: MPRA Paper
• Language: English
• Keywords: DSGE, Bayesian MCMC, climate risk, extreme value theory, input–output network, Côte d'Ivoire, non-Ricardian households, sea-level rise, adaptation, AfCFTA.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C67 - Input-Output Models; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E69 - Other; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q5 - Environmental Economics > Q54 - Climate ; Natural Disasters and Their Management ; Global Warming; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q5 - Environmental Economics > Q55 - Technological Innovation; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q5 - Environmental Economics > Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth

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