Crises and Recoveries in an Empirical Model of Consumption Disasters

American Economic Journal: Macroeconomics - Tập 5 Số 3 - Trang 35-74 - 2013
Emi Nakamura1, Jón Steinsson2, Robert J. Barro3, José F. Ursúa4,5
1Graduate School of Business, Columbia University, 3022 Broadway, New York, NY 10027.
2Department of Economics, Columbia University, 420 W 118 St., New York, NY 10027.
3Department of Economic, Harvard University, Littauer Center, 1805 Cambridge St., Cambridge, MA 02138.
4Goldman Sachs, 200 West St., New York, NY 10282.
5Harvard University

Tóm tắt

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. (JEL E21, E32, E44, G12, G14)

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Thông tin
Thông tin xuất bản

American Economic Journal: Macroeconomics

Tập 5 Số 3

35-74

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