Arbeitspapier
Rare events and long-run risks
Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and for understanding asset pricing. We estimate a model with RE and LRR using long-term consumption data for 42 economies. RE typically associates with major historical episodes, such as world wars and depressions and analogous country-specific events. LRR reflects gradual processes that influence long-run growth rates and volatility. A match between the model and observed average rates of return requires a coefficient of relative risk aversion, γ, around 6. Most of the explanation for the equity premium derives from RE, although LRR makes a moderate contribution.
- Sprache
-
Englisch
- Erschienen in
-
Series: AEI Economics Working Paper ; No. 2016-16
- Klassifikation
-
Wirtschaft
- Thema
-
macroeconomics
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Barro, Robert J.
Jin, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
American Enterprise Institute (AEI)
- (wo)
-
Washington, DC
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Barro, Robert J.
- Jin, Tao
- American Enterprise Institute (AEI)
Entstanden
- 2016
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