Add to ORKGThe impact of rare disasters on equity premium and term premium in a New Keynesian DSGE model is explored in the thesis. Andreasen's (2012) model with Epstein-Zin preferences, bonds and a rare disaster shock in total factor productivity process is extended by a variable capital stock and an equity-type asset. We find that the variable capital significantly changes behavior of the model, capital depreciation must be substantially increased to counter the effect of variable capital and stochastic mean of inflation increases. The model calibrated to the US economy and a high risk aversion generates 10-year term premium of 90 basis points, rare disasters increase the premium only by 3 basis points. The equity premium is 163 basis points and rar...
There has been a considerable debate about whether disaster models can rationalize the equity premiu...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second ...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare ...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
Although the threat of rare economic disasters can have large effect on asset prices, difficulty in ...
This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that ris...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resu...
There has been a considerable debate about whether disaster models can rationalize the equity premiu...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second ...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare ...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
Although the threat of rare economic disasters can have large effect on asset prices, difficulty in ...
This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that ris...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extrem...
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resu...
There has been a considerable debate about whether disaster models can rationalize the equity premiu...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
Probably not. First, allowing the probabilities of the states of the economy to differ from their sa...
