The Dynamics of Crises and the Equity Premium
提出一种新的定价渠道，允许消费下降引发经济危机，从而在消费动态现实的情况下产生高股权溢价和低无风险利率，并用42国数据验证了模型。
It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: we allow for consumption drops that can spark an economic crisis. This new feature generates a large equity premium even if possible consumption drops are of moderate size. In turn, our model also matches the consumption data of 42 countries along several dimensions. In particular, our approach generates a realistic number of crises that have realistic durations and involve clustering of moderate consumption drops. Received October 17, 2014; accepted August 18, 2015 by Editor Pietro Veronesi.