Rare Macroeconomic Disasters
研究了罕见宏观经济灾难如何解释资产定价谜题，利用28国消费和40国GDP长期数据，发现灾难规模可解释股权溢价，并探讨了灾难概率变化对股票波动、企业杠杆等的影响。
The potential for rare macroeconomic disasters may explain an array of asset-pricing puzzles. Our empirical studies of these extreme events rely on long-term data now covering 28 countries for consumption and 40 for GDP. A baseline model calibrated with observed peak-to-trough disaster sizes accords with the average equity premium with a reasonable coefficient of relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and disaster probabilities. Business-cycle models with shocks to disaster probability have implications for the cyclical behavior of asset returns and corporate leverage, and international versions may explain the uncovered-interest-parity puzzle. Richer models of disaster dynamics allow for transitions between normalcy and disaster, bring in postcrisis recoveries, and use the full time series on consumption. Potential future research includes applications to long-term economic growth and environmental economics, and the use of stock-index options prices and other variables to gauge time-varying disaster probabilities.