Replication data for: Disaster Risk and Business Cycles

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ReplicationAER			08/02/2019 07:31:PM
LICENSE.txt	text/plain	14.6 KB	08/02/2019 03:31:PM

Project Citation:

Project Description

Summary: 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. (JEL E13, E32, E44, G32)

Scope of Project

JEL Classification:
      E44 Financial Markets and the Macroeconomy
      E32 Business Fluctuations • Cycles
      E13 Neoclassical
      G32 Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill

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Published Versions

V1 [2019-08-02]

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DDI 2.5

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