Titulo: “The Time-Varying Risk of Macroeconomic Disasters

Autores: Julien Penasse


The rare disasters model of asset prices suggests stock market variations reflect persistent fluctuations in the probability of a large decline in consumption. This paper estimates this probability from macroeconomic data alone, using a dataset of 42 countries over more than a century. We found that disaster risk is volatile and persistent, strongly correlates with the dividend-price ratio, and forecasts stock returns. Our evidence suggests that disaster risk can rationalize the equity premium and risk-free rate puzzles, the excess volatility puzzle, and the predictability of aggregate stock market returns by the dividend-price ratio. A variable disaster model calibrated with our risk estimates con_rms these results under standard assumptions.
While former works support the plausibility of disaster risk hypothesis, we provide direct evidence that disaster risk can rationalize price uctuations.

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Fecha y hora: 13 de Abril de 2017 | 13:00 hrs
Lugar: Sala P307 Edificio Placa (Diagonal Paraguay # 257, Santiago, Chile)

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