Rare Disasters and Asset Markets in the Twentieth Century*

Barro. (2006). Rare Disasters and Asset Markets in the Twentieth Century*. Quarterly Journal of Economics.

Type

Journal article

Intellectual base

Primary research

Year

2006

DOI

10.1162/qjec.121.3.823

Link

https://doi.org/10.1162/qjec.121.3.823

Cited by

1 citation across 1 artifact.

Domain-specific

• Equity premium puzzle
  • Calibrating a disaster probability of around 1.7% per year with that empirical distribution of contraction sizes, he showed a standard expected-utility model with moderate risk aversion could rationalize an equity premium near the observed magnitude: equities are shunned because they crater precisely in disasters, and the rarely-realized-but-real tail is missing from the placid postwar US sample

Verification

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