Crises and Recoveries in an Empirical Model of Consumption Disasters
利用24个国家超过100年的消费数据，估计了一个允许灾难后部分复苏的经验模型，发现约一半的消费下降会逆转，并分析了该模型对资产价格的影响，特别是股权溢价和股市崩盘的解释。
We estimate an empirical model of consumption disasters using new data on consumption for 24 countries over more than 100 years, and study its implications for asset prices. The model allows for partial recoveries after disasters that unfold over multiple years. We find that roughly half of the drop in consumption due to disasters is subsequently reversed. Our model generates a sizable equity premium from disaster risk, but one that is substantially smaller than in simpler models. It implies that a large value of the intertemporal elasticity of substitution is necessary to explain stock-market crashes at the onset of disasters.