Disaster Risk and Business Cycles
构建了一个包含经济灾难风险的易处理真实经济周期模型，发现灾难风险上升会导致就业、产出、投资、股价和利率下降，同时提高风险资产预期收益，模型较好地匹配了数量与资产价格数据，表明总风险变化在某些经济周期中起重要作用。
Motivated by the evidence that risk premia are large and countercyclical, this paper studies a tractable real business cycle model with a small risk of economic disaster, such as the Great Depression. An increase in disaster risk leads to a decline of employment, output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well data on quantities, asset prices, and particularly the relations between quantities and prices, suggesting that variation in aggregate risk plays a significant role in some business cycles.