Replication data for: Disaster Risk and Business Cycles
Principal Investigator(s): View help for Principal Investigator(s) François Gourio
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| final | 08/02/2019 07:31:PM |
Project Description
Summary:
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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:
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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
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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