Journal ArticleDOI
Stock-Market Crashes and Depressions
Robert J. Barro,Jose F. Ursua +1 more
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In this article, the authors compute the covariance between stock-returns and an asset-pricing factor, which depends on the decline of consumption during a depression, with a coefficient of relative risk aversion around 3.5.About:
This article is published in Research in Economics.The article was published on 2017-09-01. It has received 156 citations till now.read more
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Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance
TL;DR: In this article, the authors incorporate a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters.
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How Do Business and Financial Cycles Interact
TL;DR: In this article, the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4.
Journal ArticleDOI
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
TL;DR: Barro et al. as discussed by the authors proposed a time-varying probability of a consumption disaster model to explain the stock market volatility and excess return predictability, showing that the risk is sufficiently high, and the rare disaster sufficiently severe, to quantitatively explain the equity premium.
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Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
TL;DR: In this paper, a time-varying probability of a consumption disaster is used to predict stock returns in excess of government bill rates, and the possibility of this poor outcome substantially increases the stock market volatility and excess return predictability.
References
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Journal ArticleDOI
THE EQUITY PREMIUM A Puzzle
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: This paper showed that an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.
Journal ArticleDOI
Asset prices in an exchange economy
TL;DR: In this article, the authors examine the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers, and derive a functional equation for price as a function of the physical state of the economy.
BookDOI
This Time Is Different: Eight Centuries of Financial Folly
Carmen Reinhart,Kenneth Rogoff +1 more
TL;DR: This Time Is Different as mentioned in this paper presents a comprehensive look at the varieties of financial crises, and guides us through eight astonishing centuries of government defaults, banking panics, and inflationary spikes.
Journal ArticleDOI
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Larry G. Epstein,Stanley E. Zin +1 more
TL;DR: In this paper, a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries is developed, which allows risk attitudes to be disentangled from the degree of inter-temporal substitutability, leading to a model of asset returns in which appropriate versions of both the atemporal CAPM and the inter-time consumption-CAPM are nested as special cases.
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Ravi Bansal,Amir Yaron +1 more
TL;DR: In this article, the authors show that news about growth rates significantly alter agent's perceptions regarding long run expected growth rates and growth rate uncertainty, which leads to a large equity risk premium, low risk free interest rate, and large market volatility.