Crises and Recoveries in an Empirical Model of Consumption Disasters

• 成果类型: Article
• 署名作者: Nakamura, Emi; Steinsson, Jon; Barro, Robert; Ursua, Jose
• 署名单位: Columbia University; Columbia University; Harvard University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.3.35
• 发表日期: 2013
• 页码: 35-74
• 关键词: asset prices; equity premium; rare disasters; random-walk; long-run; RISK; inflation; rates; substitution; volatility

摘要

We estimate an empirical model of consumption disasters using new data on consumption for 24 countries over more than 100 years, and study its implications for asset prices. The model allows for partial recoveries after disasters that unfold over multiple years. We find that roughly half of the drop in consumption due to disasters is subsequently reversed. Our model generates a sizable equity premium from disaster risk, but one that is substantially smaller than in simpler models. It implies that a large value of the intertemporal elasticity of substitution is necessary to explain stock-market crashes at the onset of disasters.