메뉴 건너뛰기




Volumn 5, Issue 3, 2013, Pages 35-74

Crises and recoveries in an empirical model of consumption disasters

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84880608268     PISSN: 19457707     EISSN: 19457715     Source Type: Journal    
DOI: 10.1257/mac.5.3.35     Document Type: Article
Times cited : (216)

References (73)
  • 1
    • 0001918323 scopus 로고    scopus 로고
    • Risk premia and term premia in general equilibrium
    • Abel, Andrew B. 1999. "Risk premia and term premia in general equilibrium." Journal of Monetary Economics 43 (1): 3-33.
    • (1999) Journal of Monetary Economics , vol.43 , Issue.1 , pp. 3-33
    • Abel, A.B.1
  • 2
    • 12144262641 scopus 로고    scopus 로고
    • Using Asset Prices to Measure the Cost of Business Cycles
    • Alvarez, Fernando, and Urban J. Jermann. 2004. "Using Asset Prices to Measure the Cost of Business Cycles." Journal of Political Economy 112 (6): 1223-56.
    • (2004) Journal of Political Economy , vol.112 , Issue.6 , pp. 1223-1256
    • Alvarez, F.1    Jermann, U.J.2
  • 3
    • 57349174070 scopus 로고    scopus 로고
    • Bayesian Analysis of the Consumption CAPM
    • edited by Thomas B. Fomby, R. Carter Hill, Ivan Jeliazkov, and Juan Carlos, Bingley, UK: Emerald
    • Arakelian, Veni, and Efthymios G. Tsionas. 2009. "Bayesian Analysis of the Consumption CAPM." In Advances in Econometrics, Vol. 23, edited by Thomas B. Fomby, R. Carter Hill, Ivan Jeliazkov, and Juan Carlos, 619-43. Bingley, UK: Emerald.
    • (2009) In Advances in Econometrics , vol.23 , pp. 619-643
    • Arakelian, V.1    Tsionas, E.G.2
  • 5
    • 84977341011 scopus 로고
    • The Estimation of Prewar Gross National Product: Methodology and New Evidence
    • Balke, Nathan S., and Robert J. Gordon. 1989. "The Estimation of Prewar Gross National Product: Methodology and New Evidence." Journal of Political Economy 97 (1): 38-92.
    • (1989) Journal of Political Economy , vol.97 , Issue.1 , pp. 38-92
    • Balke, N.S.1    Gordon, R.J.2
  • 6
    • 4344674622 scopus 로고    scopus 로고
    • Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
    • Bansal, Ravi, and Amir Yaron. 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles." Journal of Finance 59 (4): 1481-1509.
    • (2004) Journal of Finance , vol.59 , Issue.4 , pp. 1481-1509
    • Bansal, R.1    Yaron, A.2
  • 7
    • 0031206516 scopus 로고    scopus 로고
    • Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices
    • Barr, D. G., and John Y. Campbell. 1997. "Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices." Journal of Monetary Economics 39 (1): 361-83.
    • (1997) Journal of Monetary Economics , vol.39 , Issue.1 , pp. 361-383
    • Barr, D.G.1    Campbell, J.Y.2
  • 8
    • 0004265267 scopus 로고    scopus 로고
    • Cambridge, MA: MIT Press
    • Barro, Robert J. 1997. Macroeconomics. Cambridge, MA: MIT Press.
    • (1997) Macroeconomics
    • Barro, R.J.1
  • 9
    • 33646382246 scopus 로고    scopus 로고
    • Rare Disasters and Asset Markets in the Twentieth Century
    • Barro, Robert J. 2006. "Rare Disasters and Asset Markets in the Twentieth Century." Quarterly Journal of Economics 121 (3): 832-66.
    • (2006) Quarterly Journal of Economics , vol.121 , Issue.3 , pp. 832-866
    • Barro, R.J.1
  • 10
    • 70349346498 scopus 로고    scopus 로고
    • Rare Disasters, Asset Prices, and Welfare Costs
    • Barro, Robert J. 2009. "Rare Disasters, Asset Prices, and Welfare Costs." American Economic Review 99 (1): 243-64.
    • (2009) American Economic Review , vol.99 , Issue.1 , pp. 243-264
    • Barro, R.J.1
  • 11
    • 80053057271 scopus 로고    scopus 로고
    • On the Size Distribution of Macroeconomic Disasters
    • Barro, Robert J., and Tao Jin. 2011. "On the Size Distribution of Macroeconomic Disasters." Econometrica 79 (5): 1567-89.
    • (2011) Econometrica , vol.79 , Issue.5 , pp. 1567-1589
    • Barro, R.J.1    Jin, T.2
  • 13
  • 16
    • 0030534228 scopus 로고    scopus 로고
    • Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
    • Bates, David S. 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options." Review of Financial Studies 9 (1): 69-107.
    • (1996) Review of Financial Studies , vol.9 , Issue.1 , pp. 69-107
    • Bates, D.S.1
  • 17
    • 84862222390 scopus 로고    scopus 로고
    • The Long-Run Risk Model and Aggregate Asset Prices: An Empirical Assessment
    • Beeler, Jason, and John Y. Campbell. 2012. "The Long-Run Risk Model and Aggregate Asset Prices: An Empirical Assessment." Critical Finance Review 1 (1): 141-82.
    • (2012) Critical Finance Review , vol.1 , Issue.1 , pp. 141-182
    • Beeler, J.1    Campbell, J.Y.2
  • 20
    • 77649160315 scopus 로고    scopus 로고
    • Carry Trades and Currency Crashes
    • edited by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, Chicago: University of Chicago Press
    • Brunnermeier, Markus K., Stefan Nagel, and Lasse H. Pedersen. 2009. "Carry Trades and Currency Crashes." In NBER Macroeconomics Annual 2008, Vol. 23, edited by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, 313-47. Chicago: University of Chicago Press.
    • (2009) NBER Macroeconomics Annual 2008 , vol.23 , pp. 313-347
    • Brunnermeier, M.K.1    Nagel, S.2    Pedersen, L.H.3
  • 22
    • 66049100957 scopus 로고    scopus 로고
    • Consumption-Based Asset Pricing
    • edited by George M. Constantinides, Milton Harris, and René M. Stulz, Amsterdam: Elsevier
    • Campbell, John Y. 2003. "Consumption-Based Asset Pricing." In Handbook of the Economics of Finance, Vol. 1B, edited by George M. Constantinides, Milton Harris, and René M. Stulz, 802-87. Amsterdam: Elsevier.
    • (2003) In Handbook of the Economics of Finance , vol.1 B , pp. 802-887
    • Campbell, J.Y.1
  • 23
    • 0032771542 scopus 로고    scopus 로고
    • By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    • Campbell, John Y., and John H. Cochrane. 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Journal of Political Economy 107 (2): 205-51.
    • (1999) Journal of Political Economy , vol.107 , Issue.2 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 25
    • 41849114952 scopus 로고    scopus 로고
    • Growth Dynamics: The Myth of Economic Recovery
    • Cerra, Valerie, and Sweta Chaman Saxena. 2008. "Growth Dynamics: The Myth of Economic Recovery." American Economic Review 98 (1): 439-57.
    • (2008) American Economic Review , vol.98 , Issue.1 , pp. 439-457
    • Cerra, V.1    Saxena, S.C.2
  • 26
    • 84936823544 scopus 로고
    • How Big Is the Random Walk in GNP?
    • Cochrane, John H. 1988. "How Big Is the Random Walk in GNP?" Journal of Political Economy 96 (5): 893-920.
    • (1988) Journal of Political Economy , vol.96 , Issue.5 , pp. 893-920
    • Cochrane, J.H.1
  • 27
    • 0025591195 scopus 로고
    • International Evidence on the Size of the Random Walk in Output
    • Cogley, Timothy. 1990. "International Evidence on the Size of the Random Walk in Output." Journal of Political Economy 98 (3): 501-18.
    • (1990) Journal of Political Economy , vol.98 , Issue.3 , pp. 501-518
    • Cogley, T.1
  • 28
    • 0001400264 scopus 로고
    • Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
    • Constantinides, George. 1982. "Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation." Journal of Business 55 (2): 253-67.
    • (1982) Journal of Business , vol.55 , Issue.2 , pp. 253-267
    • Constantinides, G.1
  • 30
    • 0001691088 scopus 로고    scopus 로고
    • Asset Pricing with Heterogeneous Consumers
    • Constantinides, George M., and Darrell Duffie. 1996. "Asset Pricing with Heterogeneous Consumers." Journal of Political Economy 104 (2): 219-40.
    • (1996) Journal of Political Economy , vol.104 , Issue.2 , pp. 219-240
    • Constantinides, G.M.1    Duffie, D.2
  • 31
    • 0038897369 scopus 로고    scopus 로고
    • Bones, Bombs and Break Points: The Geography of Economic Activity
    • Davis, Donald R., and David E. Weinstein. 2002. "Bones, Bombs and Break Points: The Geography of Economic Activity." American Economic Review 92 (5): 1269-89.
    • (2002) American Economic Review , vol.92 , Issue.5 , pp. 1269-1289
    • Davis, D.R.1    Weinstein, D.E.2
  • 33
    • 0000842941 scopus 로고
    • Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns
    • Epstein, Larry G., and Stanley E. Zin. 1989. "Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns." Econometrica 57 (4): 937-69.
    • (1989) Econometrica , vol.57 , Issue.4 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 34
    • 0142188082 scopus 로고    scopus 로고
    • The Impact of Jumps in Volatility and Returns
    • Eraker, Bjørn, Michael Johannes, and Nicholas Polson. 2003. "The Impact of Jumps in Volatility and Returns." Journal of Finance 58 (3): 1269-1300.
    • (2003) Journal of Finance , vol.58 , Issue.3 , pp. 1269-1300
    • Eraker, B.1    Johannes, M.2    Polson, N.3
  • 35
    • 0040350327 scopus 로고    scopus 로고
    • Real Rates, Expected Inflation, and Inflation Risk Premia
    • Evans, Martin D. D. 1998. "Real Rates, Expected Inflation, and Inflation Risk Premia." Journal of Finance 53 (1): 187-218.
    • (1998) Journal of Finance , vol.53 , Issue.1 , pp. 187-218
    • Evans, M.D.D.1
  • 38
    • 44949137307 scopus 로고    scopus 로고
    • Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-Finance
    • Gabaix, Xavier. 2008. "Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-Finance." American Economic Review 98 (2): 64-67.
    • (2008) American Economic Review , vol.98 , Issue.2 , pp. 64-67
    • Gabaix, X.1
  • 41
    • 84972492387 scopus 로고
    • Inference from Iterative Simulation Using Multiple Sequences
    • Gelman, Andrew, and Donald B. Rubin. 1992. "Inference from Iterative Simulation Using Multiple Sequences." Statistical Science 7 (4): 457-511.
    • (1992) Statistical Science , vol.7 , Issue.4 , pp. 457-511
    • Gelman, A.1    Rubin, D.B.2
  • 44
    • 44949237074 scopus 로고    scopus 로고
    • Disasters and Recoveries
    • Gourio, François. 2008. "Disasters and Recoveries." American Economic Review 98 (2): 68-73.
    • (2008) American Economic Review , vol.98 , Issue.2 , pp. 68-73
    • Gourio, F.1
  • 45
    • 84867697764 scopus 로고    scopus 로고
    • Disaster Risk and Business Cycles
    • Gourio, François. 2012. "Disaster Risk and Business Cycles." American Economic Review 102 (6): 2734-66.
    • (2012) American Economic Review , vol.102 , Issue.6 , pp. 2734-2766
    • Gourio, F.1
  • 48
    • 71549158840 scopus 로고    scopus 로고
    • A Parsimonious Macroeconomic Model for Asset Pricing
    • Guvenen, Fatih. 2009. "A Parsimonious Macroeconomic Model for Asset Pricing." Econometrica 77 (6): 1711-50.
    • (2009) Econometrica , vol.77 , Issue.6 , pp. 1711-1750
    • Guvenen, F.1
  • 49
    • 84936526550 scopus 로고
    • Intertemporal Substitution in Consumption
    • Hall, Robert E. 1988. "Intertemporal Substitution in Consumption." Journal of Political Economy 96 (2): 339-57.
    • (1988) Journal of Political Economy , vol.96 , Issue.2 , pp. 339-357
    • Hall, R.E.1
  • 50
    • 85017108575 scopus 로고
    • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    • Hansen, Lars Peter, and Kenneth J. Singleton. 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica 50 (5): 1269-88.
    • (1982) Econometrica , vol.50 , Issue.5 , pp. 1269-1288
    • Hansen, L.P.1    Singleton, K.J.2
  • 51
    • 84866644725 scopus 로고    scopus 로고
    • Can Rare Events Explain the Equity Premium Puzzle?
    • Julliard, Christian, and Anisha Ghosh. 2012. "Can Rare Events Explain the Equity Premium Puzzle?" Review of Financial Studies 25 (10): 3037-76.
    • (2012) Review of Financial Studies , vol.25 , Issue.10 , pp. 3037-3076
    • Julliard, C.1    Ghosh, A.2
  • 53
    • 0036408072 scopus 로고    scopus 로고
    • Unit Roots, Trend Breaks, and Transitory Dynamics: A Macroeconomic Perspective
    • Kilian, Lutz, and Lee E. Ohanian. 2002. "Unit Roots, Trend Breaks, and Transitory Dynamics: A Macroeconomic Perspective." Macroeconomic Dynamics 6 (5): 614-32.
    • (2002) Macroeconomic Dynamics , vol.6 , Issue.5 , pp. 614-632
    • Kilian, L.1    Ohanian, L.E.2
  • 54
    • 34250749750 scopus 로고    scopus 로고
    • Estimation and Forecasting in Models with Multiple Breaks
    • Koop, Gary, and Simon M. Potter. 2007. "Estimation and Forecasting in Models with Multiple Breaks." Review of Economic Studies 74 (3): 763-89.
    • (2007) Review of Economic Studies , vol.74 , Issue.3 , pp. 763-789
    • Koop, G.1    Potter, S.M.2
  • 55
    • 33846191480 scopus 로고    scopus 로고
    • Why Is Long-Horizon Equity Less Risky? A Duration- Based Explanation of the Value Premium
    • Lettau, Martin, and Jessica A. Wachter. 2007. "Why Is Long-Horizon Equity Less Risky? A Duration- Based Explanation of the Value Premium." Journal of Finance 62 (1): 55-92.
    • (2007) Journal of Finance , vol.62 , Issue.1 , pp. 55-92
    • Lettau, M.1    Wachter, J.A.2
  • 56
    • 0000150312 scopus 로고
    • Asset Prices in an Exchange Economy
    • Lucas, Robert E., Jr. 1978. "Asset Prices in an Exchange Economy." Econometrica 46 (6): 1429-45.
    • (1978) Econometrica , vol.46 , Issue.6 , pp. 1429-1445
    • Lucas, Jr.R.E.1
  • 58
    • 44949212852 scopus 로고    scopus 로고
    • Disasters and the Welfare Cost of Uncertainty
    • Martin, Ian W. R. 2008. "Disasters and the Welfare Cost of Uncertainty." American Economic Review 98 (2): 74-78.
    • (2008) American Economic Review , vol.98 , Issue.2 , pp. 74-78
    • Martin, I.W.R.1
  • 62
    • 0000899296 scopus 로고
    • The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    • Perron, Pierre. 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis." Econometrica 57 (6): 1361-1401.
    • (1989) Econometrica , vol.57 , Issue.6 , pp. 1361-1401
    • Perron, P.1
  • 63
    • 33749045516 scopus 로고    scopus 로고
    • Forecasting Time Series Subject to Multiple Structural Breaks
    • Pesaran, M. Hashem, Davide Pettenuzzo, and Allan Timmermann. 2006. "Forecasting Time Series Subject to Multiple Structural Breaks." Review of Economic Studies 73 (4): 1057-84.
    • (2006) Review of Economic Studies , vol.73 , Issue.4 , pp. 1057-1084
    • Pesaran, M.H.1    Pettenuzzo, D.2    Timmermann, A.3
  • 64
    • 84880606755 scopus 로고    scopus 로고
    • Understanding Returns on Average and over Time
    • Piazzesi, Monika. 2010. "Understanding Returns on Average and over Time." NBER Reporter: Asset Pricing Program Report 2010 (2): 1-7. http://www.nber.org/reporter/2010number2/2010no2.pdf.
    • (2010) NBER Reporter: Asset Pricing Program Report , vol.2010 , Issue.2 , pp. 1-7
    • Piazzesi, M.1
  • 65
    • 34250831455 scopus 로고    scopus 로고
    • Equilibrium Yield Curves
    • edited by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, Cambridge, MA: MIT Press
    • Piazzesi, Monika, and Martin Schneider. 2007. "Equilibrium Yield Curves." In NBER Macroeconomics Annual 2006, Vol. 21, edited by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, 389-442. Cambridge, MA: MIT Press.
    • (2007) NBER Macroeconomics Annual 2006 , vol.21 , pp. 389-442
    • Piazzesi, M.1    Schneider, M.2
  • 66
    • 45549121696 scopus 로고
    • The Equity Risk Premium: A Solution
    • Rietz, Thomas A. 1988. "The Equity Risk Premium: A Solution." Journal of Monetary Economics 22 (1): 117-31.
    • (1988) Journal of Monetary Economics , vol.22 , Issue.1 , pp. 117-131
    • Rietz, T.A.1
  • 67
    • 84935953652 scopus 로고
    • Is the Stabilization of the Postwar Economy a Figment of the Data?
    • Romer, Christina D. 1986. "Is the Stabilization of the Postwar Economy a Figment of the Data?" American Economic Review 76 (3): 314-34.
    • (1986) American Economic Review , vol.76 , Issue.3 , pp. 314-334
    • Romer, C.D.1
  • 68
    • 0001048997 scopus 로고
    • An aggregation theorem for securities markets
    • Rubinstein, Mark. 1974. "An aggregation theorem for securities markets." Journal of Financial Economics 1 (3): 225-44.
    • (1974) Journal of Financial Economics , vol.1 , Issue.3 , pp. 225-244
    • Rubinstein, M.1
  • 69
    • 0003174553 scopus 로고
    • Bayesian Statistics Without Tears: A Sampling-Resampling Perspective
    • Smith, A. F. M., and A. E. Gelfand. 1992. "Bayesian Statistics Without Tears: A Sampling-Resampling Perspective." American Statistician 46 (2): 84-88.
    • (1992) American Statistician , vol.46 , Issue.2 , pp. 84-88
    • Smith, A.F.M.1    Gelfand, A.E.2
  • 70
    • 22144452853 scopus 로고    scopus 로고
    • Likelihood Evidence on the Asset Returns Puzzle
    • Tsionas, Efthymios G. 2005. "Likelihood Evidence on the Asset Returns Puzzle." Review of Economic Studies 72 (3): 917-46.
    • (2005) Review of Economic Studies , vol.72 , Issue.3 , pp. 917-946
    • Tsionas, E.G.1
  • 71
    • 84924373779 scopus 로고    scopus 로고
    • Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility
    • Wachter, Jessica A. Forthcoming. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility." Journal of Finance.
    • Journal of Finance
    • Wachter, J.A.1
  • 72
    • 0001926061 scopus 로고
    • Nonexpected Utility in Macroeconomics
    • Weil, Phillipe. 1990. "Nonexpected Utility in Macroeconomics." Quarterly Journal of Economics 105 (1): 29-42.
    • (1990) Quarterly Journal of Economics , vol.105 , Issue.1 , pp. 29-42
    • Weil, P.1
  • 73
    • 0000112188 scopus 로고
    • The Theory of Syndicates
    • Wilson, Robert B. 1968. "The Theory of Syndicates." Econometrica 36 (1): 119-32.
    • (1968) Econometrica , vol.36 , Issue.1 , pp. 119-132
    • Wilson, R.B.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.