Rare Disasters, Asset Prices, and Welfare Costs
用包含罕见灾难的代表性消费者模型解释股权溢价和无风险利率，并估算消除罕见灾难的福利成本约为每年GDP的20%，而通常经济波动的成本约为1.5%。
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with observed equity premia and risk-free rates if the coefficient of relative risk aversion equals 3–4. If the intertemporal elasticity of substitution exceeds one, an increase in uncertainty lowers the price-dividend ratio for equity, and a rise in the expected growth rate raises this ratio. Calibrations indicate that society would willingly reduce GDP by around 20 percent each year to eliminate rare disasters. The welfare cost from usual economic fluctuations is much smaller, though still important, corresponding to lowering GDP by about 1.5 percent each year.