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Citations for "Rare Disasters and Asset Markets in the Twentieth Century"

by Barro, Robert

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  1. Albuquerque, Rui, 2010. "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers 7896, C.E.P.R. Discussion Papers.
  2. Salcedo, Alejandrina & Schoellman, Todd & Tertilt, Michèle, 2009. "Families as Roommates: Changes in U.S. Household Size from 1850 to 2000," CEPR Discussion Papers 7543, C.E.P.R. Discussion Papers.
  3. Francisco J. Ruge-Murcia, 2010. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," Working Paper Series 49_10, The Rimini Centre for Economic Analysis.
  4. Sule Alan & Thomas Crossley & Hamish Low, 2012. "Saving on a rainy day, borrowing for a rainy day," IFS Working Papers W12/11, Institute for Fiscal Studies.
  5. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, School of Economics and Management, University of Aarhus.
  6. Mechtel, Mario & Potrafke, Niklas, 2009. "Political Cycles in Active Labor Market Policies," MPRA Paper 14270, University Library of Munich, Germany.
  7. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  8. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  9. Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
  10. Kumhof, Michael & Rancière, Romain, 2011. "Inequality, Leverage and Crises," CEPR Discussion Papers 8179, C.E.P.R. Discussion Papers.
  11. Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics.
  12. Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
  13. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  14. Kjell Arne Brekke & Olof Johansson-Stenman, 2008. "The behavioural economics of climate change," Oxford Review of Economic Policy, Oxford University Press, vol. 24(2), pages 280-297, Summer.
  15. Lee, Jong-Wha & Pyun, Ju Hyun, 2009. "Does Trade Integration Contribute to Peace?," Working Papers on Regional Economic Integration 24, Asian Development Bank.
  16. Eduardo Borensztein & Eduardo A. Cavallo & Patricio Valenzuela, 2008. "Debt Sustainability Under Catastrophic Risk: The Case for Government Budget Insurance," Research Department Publications 2011, Inter-American Development Bank, Research Department.
  17. repec:spo:wpecon:info:hdl:2441/eo6779thqgm5r489m363974qg is not listed on IDEAS
  18. Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," Discussion Papers 31, Monetary Policy Committee Unit, Bank of England.
  19. James E. Sawyer,, 2009. "Anti-Sustainability Rhetoric: Sketching Ideological Responses," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 49-71.
  20. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  21. Ivan Shaliastovich & Ravi Bansal, 2012. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," 2012 Meeting Papers 778, Society for Economic Dynamics.
  22. Lance Kent & Toan Phan, 2013. "Business Cycles with Revolutions," Working Papers 145, Department of Economics, College of William and Mary.
  23. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Centre for Economic History, Queen's University Belfast.
  24. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  25. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
  26. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  27. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
  28. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  29. Miguel Ampudia & Michael Ehrmann, 2014. "Macroeconomic Experiences and Risk Taking of Euro Area Households," Working Papers 14-10, Bank of Canada.
  30. van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012. "The term structure of interest rates in a DSGE model with recursive preferences," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
  31. François Gourio, 2008. "Time-series predictability in the disaster model," Boston University - Department of Economics - Working Papers Series wp2008-016, Boston University - Department of Economics.
  32. Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009. "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers 140, Society for Economic Dynamics.
  33. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  34. Haddow, Abigail & Hare, Chris & Hooley, John & Shakir, Tamarah, 2013. "Macroeconomic uncertainty: what is it, how can we measure it and why does it matter?," Bank of England Quarterly Bulletin, Bank of England, vol. 53(2), pages 100-109.
  35. Gollier, Christian & Hammitt, James & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
  36. Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," Working Papers 10-37, Duke University, Department of Economics.
  37. Daniel Kapp & Marco Vega, 2012. "Real Output Costs of Financial Crises: A Loss Distribution Approach," Papers 1201.0967, arXiv.org, revised May 2012.
  38. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
  39. Xavier Gabaix, 2008. "Power Laws in Economics and Finance," NBER Working Papers 14299, National Bureau of Economic Research, Inc.
  40. Andrew Glover & Jonathan Heathcote & Dirk Krueger & José-Víctor Ríos-Rull, 2011. "Intergenerational Redistribution in the Great Recession," NBER Working Papers 16924, National Bureau of Economic Research, Inc.
  41. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, C.E.P.R. Discussion Papers.
  42. Robert J. Barro, 2009. "Rare Disasters, Asset Prices, and Welfare Costs," American Economic Review, American Economic Association, vol. 99(1), pages 243-64, March.
  43. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  44. Popov, Alexander, 2011. "Output growth and fluctuation: the role of financial openness," Working Paper Series 1368, European Central Bank.
  45. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Affine Disagreement and Asset Pricing," American Economic Review, American Economic Association, vol. 100(2), pages 522-26, May.
  46. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
  47. GOLLIER Christian, 2008. "Discounting with fat-tailed economic growth," LERNA Working Papers 08.19.263, LERNA, University of Toulouse.
  48. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
  49. Sylvain Leduc & Zheng Liu, 2012. "Uncertainty shocks are aggregate demand shocks," Working Paper Series 2012-10, Federal Reserve Bank of San Francisco.
  50. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
  51. Suzuki, Shiba, 2012. "Stock market booms in economies damaged during World War II," Research in Economics, Elsevier, vol. 66(2), pages 175-183.
  52. Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
  53. Eduardo Cavallo & Ilan Noy, 2009. "The Economics of Natural Disasters: A Survey," Research Department Publications 4649, Inter-American Development Bank, Research Department.
  54. Sujoy Mukerji & Kevin Sheppard & Fabrice Collard and Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
  55. Nicola Gennaioli & Andrei Shleifer & Robert W. Vishny, 2011. "A Model of Shadow Banking," NBER Working Papers 17115, National Bureau of Economic Research, Inc.
  56. Dierkes, Maik & Erner, Carsten & Zeisberger, Stefan, 2010. "Investment horizon and the attractiveness of investment strategies: A behavioral approach," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1032-1046, May.
  57. Hanno Lustig & Adrien Verdelhan, 2008. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply," NBER Working Papers 13812, National Bureau of Economic Research, Inc.
  58. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
  59. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  60. Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, . "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
  61. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers 12.28.385, LERNA, University of Toulouse.
  62. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
  63. Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013. "Asset Market Participation and Portfolio Choice over the Life-Cycle," Economics Working Papers ECO2013/07, European University Institute.
  64. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
  65. Auray, Stéphane & Eyquem, Aurélien & Jouneau-Sion, Frédéric, 2014. "Modeling tails of aggregate economic processes in a stochastic growth model," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 76-94.
  66. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc.
  67. Viktor Tsyrennikov & Thomas Sargent & Timothy Cogley, 2012. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," 2012 Meeting Papers 1079, Society for Economic Dynamics.
  68. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  69. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2010. "A new algorithm for solving dynamic stochastic macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 388-403, March.
  70. repec:bos:wpaper:wp2013-002 is not listed on IDEAS
  71. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  72. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  73. Robert J. Willis, 2010. "Comment on "The Rise of 401(k) Plans, Lifetime Earnings, and Wealth at Retirement"," NBER Chapters, in: Research Findings in the Economics of Aging, pages 304-309 National Bureau of Economic Research, Inc.
  74. Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, vol. 99(2), pages 400-426, February.
  75. Handley, Kyle & Limão, Nuno, 2012. "Trade and Investment under Policy Uncertainty: Theory and Firm Evidence," CEPR Discussion Papers 8798, C.E.P.R. Discussion Papers.
  76. Volker Wieland & Christos Koulovatianos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," 2011 Meeting Papers 1417, Society for Economic Dynamics.
  77. Guido Ascari & Giorgio Fagiolo & Andrea Roventini, 2012. "Fat-Tail Distributions and Business-Cycle Models," Quaderni di Dipartimento 157, University of Pavia, Department of Economics and Quantitative Methods.
  78. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
  79. Aloysius Gunadi Brata & Henri L.F. de Groot & Piet Rietveld, 2013. "Dynamics in Aceh and North Sumatera after the Twin Disasters: An Investigation into the Relevance of the Locational Fundamental Theory," Tinbergen Institute Discussion Papers 13-115/VIII, Tinbergen Institute.
  80. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  81. Martin L. Weitzman, 2012. "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers 18496, National Bureau of Economic Research, Inc.
  82. Niklas Potrafke, 2012. "Political cycles and economic performance in OECD countries: empirical evidence from 1951–2006," Public Choice, Springer, vol. 150(1), pages 155-179, January.
  83. Hengjie Ai & Mariano Massimiliano Croce & Kai Li, 2013. "Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital," Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 491-530.
  84. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, School of Economics and Management, University of Aarhus.
  85. Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang, 2012. "An Equilibrium Asset Pricing Model with Labor Market Search," NBER Working Papers 17742, National Bureau of Economic Research, Inc.
  86. Iacopetta, Maurizio, 2010. "Phases of economic development and the transitional dynamics of an innovation-education growth model," European Economic Review, Elsevier, vol. 54(2), pages 317-330, February.
  87. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
  88. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-54, December.
  89. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
  90. David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
  91. Robert J. Barro & Tao Jin, 2009. "On the Size Distribution of Macroeconomic Disasters," NBER Working Papers 15247, National Bureau of Economic Research, Inc.
  92. Abbas Mirakhor & S. Nuri Erbas, 2007. "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality," IMF Working Papers 07/230, International Monetary Fund.
  93. Aizenman, Joshua & Noy, Ilan, 2013. "Public and private saving and the long shadow of macroeconomic shocks," Working Paper Series 2776, Victoria University of Wellington, School of Economics and Finance.
  94. Robert J. Barro & José F. Ursua, 2011. "Rare Macroeconomic Disasters," NBER Working Papers 17328, National Bureau of Economic Research, Inc.
  95. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc.
  96. Robert Barro, 2009. "EconomicDynamics Interviews Robert Barro on Rare Events," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 10(2), April.
  97. Ercio Muñoz S. & Alfredo Pistelli M., 2010. "¿Tienen los Terremotos un Impacto Inflacionario en el Corto Plazo? Evidencia para una Muestra de Países," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(2), pages 113-127, April.
  98. Robert J. Barro, 2013. "Environmental Protection, Rare Disasters, and Discount Rates," NBER Working Papers 19258, National Bureau of Economic Research, Inc.
  99. Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
  100. Eduardo Cavallo & Sebastian Galiani & Ilan Noy & Juan Pantano, 2013. "Catastrophic Natural Disasters and Economic Growth," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1549-1561, December.
  101. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
  102. Daron Acemoglu & Asuman E. Ozdaglar & Alireza Tahbaz-Salehi, 2014. "The Network Origins of Large Economic Downturns," Levine's Working Paper Archive 786969000000000944, David K. Levine.
  103. Kremer, Jana & Stähler, Nikolai, 2013. "Structural and cyclical effects of tax progression," Discussion Papers 15/2013, Deutsche Bundesbank, Research Centre.
  104. Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics.
  105. Hélène Rey & Nicolas Coeurdacier, 2010. "Home bias in open economy financial macroeconomics," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  106. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
  107. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  108. Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
  109. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank, Research Centre.
  110. Alexander Chudik & Marcel Fratzscher, 2012. "Liquidity, risk and the global transmission of the 2007–08 financial crisis and the 2010–11 sovereign debt crisis title," Globalization and Monetary Policy Institute Working Paper 107, Federal Reserve Bank of Dallas.
  111. Bruno S. Frey & David A. Savage & Benno Torgler, 2008. "Noblesse Oblige? Determinants of Survival in a Life and Death Situation," IEW - Working Papers 389, Institute for Empirical Research in Economics - University of Zurich.
  112. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
  113. Christian Julliard & Anisha Ghosh, 2008. "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics 4808, London School of Economics and Political Science, LSE Library.
  114. Cropper, Maureen, 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context?," Discussion Papers dp-12-42, Resources For the Future.
  115. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  116. Samuel Fankhauser & Thomas K.J. McDermott, 2013. "Understanding the adaptation deficit: why are poor countries more vulnerable to climate events than rich countries?," Grantham Research Institute on Climate Change and the Environment Working Papers 134, Grantham Research Institute on Climate Change and the Environment.
  117. Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
  118. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.
  119. Vikash Ramiah, 2013. "Effects of the Boxing Day tsunami on the world capital markets," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 383-401, February.
  120. Adam, Klaus & Grill, Michael, 2012. "Optimal Sovereign Default," Working Papers 12-16, University of Mannheim, Department of Economics.
  121. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  122. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  123. Iacopetta, Maurizio, 2011. "Formal education and public knowledge," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 676-693, May.
  124. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  125. Haigang Zhou & John Zhu, 2011. "Jump risk and cross section of stock returns: evidence from China’s stock market," Journal of Economics and Finance, Springer, vol. 35(3), pages 309-331, July.
  126. Jawwad Noor, 2005. "Temptation, Welfare and Revealed Preference," Microeconomics 0509009, EconWPA.
  127. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  128. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
  129. Aman, Hiroyuki, 2013. "An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 22-38.
  130. Tambakis, Demosthenes N., 2014. "On the risk of long-run deflation," Economics Letters, Elsevier, vol. 122(2), pages 176-181.
  131. Mackowiak, Bartosz Adam & Wiederholt, Mirko, 2011. "Inattention to Rare Events," CEPR Discussion Papers 8626, C.E.P.R. Discussion Papers.
  132. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  133. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  134. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
  135. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  136. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
  137. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
  138. Xavier Gabaix, 2011. "Disasterization: A Simple Way to Fix the Asset Pricing Properties of Macroeconomic Models," American Economic Review, American Economic Association, vol. 101(3), pages 406-09, May.
  139. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 111-129, 07.
  140. Carmen Altés, 2008. "Turismo y desarrollo en México," Research Department Publications 2008, Inter-American Development Bank, Research Department.
  141. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  142. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013. "Pareto utility," Theory and Decision, Springer, vol. 75(1), pages 43-57, July.
  143. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
  144. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
  145. Hart, Oliver & Zingales, Luigi, 2013. "Liquidity and Inefficient Investment," CEPR Discussion Papers 9537, C.E.P.R. Discussion Papers.
  146. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  147. Eden, Maya, 2012. "Financial distortions and the distribution of global volatility," Policy Research Working Paper Series 5929, The World Bank.
  148. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
  149. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  150. Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank, Research Centre.
  151. Eduardo A. Cavallo & Patricio Valenzuela & Eduardo Borensztein, 2007. "La Sostenibilidad de Deuda frente a Riesgo de Catastrofes Naturales," Research Department Publications 4523, Inter-American Development Bank, Research Department.
  152. Ferman, Marcelo, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," Dynare Working Papers 5, CEPREMAP.
  153. John Y. Campbell, 2013. "Comment on "Shocks and Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 355-366 National Bureau of Economic Research, Inc.
  154. Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, . "X-CAPM: An Extrapolative Capital Asset Pricing Model," Working Paper 86521, Harvard University OpenScholar.
  155. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Business and Management Science, Norwegian School of Economics.
  156. Robert S. Pindyck & Neng Wang, 2013. "The Economic and Policy Consequences of Catastrophes," American Economic Journal: Economic Policy, American Economic Association, vol. 5(4), pages 306-39, November.
  157. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  158. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  159. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
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