Measuring macroeconomic tail risk

• 成果类型: Article
• 署名作者: Marfe, Roberto; Penasse, Julien
• 署名单位: University of Turin; Collegio Carlo Alberto; University of Turin; University of Luxembourg
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103838
• 发表日期: 2024
• 关键词: rare disasters; equity premium; Return predictability

摘要

This paper estimates consumption and GDP tail risk dynamics over the long run (1900-2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates covary with asset prices and forecast future stock returns, in line with theory. A calibration disciplined by our estimates supports the prediction that macroeconomic tail risk drives the equity premium.