Pessimism toward climate disasters and asset prices: A quantitative investigation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014.
"How Much Would You Pay to Resolve Long-Run Risk?,"
American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
- Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, "undated". "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
- Epstein, Larry G. & Farhi, Emmanuel & Strzalecki, Tomasz, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," Scholarly Articles 12967842, Harvard University Department of Economics.
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," NBER Working Papers 19541, National Bureau of Economic Research, Inc.
- Larry G. Epstein & Emmanuel Farhi & Tomasz Strzaleck, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Boston University - Department of Economics - Working Papers Series WP2013-002, Boston University - Department of Economics.
- Tomasz Strzalecki & Emmanuel Farhi & Larry Epstein, 2014. "How much would you pay to resolve long-run risk?," 2014 Meeting Papers 429, Society for Economic Dynamics.
- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, "undated". "How Much Would You Pay To Resolve Long-Run Risk?," Working Paper 136671, Harvard University OpenScholar.
- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2005.
"A Smooth Model of Decision Making under Ambiguity,"
Econometrica, Econometric Society, vol. 73(6), pages 1849-1892, November.
- Peter Klibanoff & Massimo Marinacci & Sujoy Mukerji, 2002. "A smooth model of decision making under ambiguity," ICER Working Papers - Applied Mathematics Series 11-2003, ICER - International Centre for Economic Research, revised Apr 2003.
- Sujoy Mukerji & Peter Klibanoff & Northwesern University Massimo Marinacci & Dip. di Satistic e Matematica Applicata & Universita di Torino and ICER, 2002. "A Smooth Model of Decision,Making Under Ambiguity," Economics Series Working Papers 113, University of Oxford, Department of Economics.
- Costis Skiadas, 2013. "Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 000.
- Robert J. Barro, 2006.
"Rare Disasters and Asset Markets in the Twentieth Century,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(3), pages 823-866.
- Barro, Robert, 2006. "Rare Disasters and Asset Markets in the Twentieth Century," Scholarly Articles 3208215, Harvard University Department of Economics.
- Robert J. Barro, 2024. "Rare Disasters and Asset Markets in the Twentieth Century," CEMA Working Papers 620, China Economics and Management Academy, Central University of Finance and Economics.
- Saito, Makoto & Suzuki, Shiba, 2014. "Persistent Catastrophic Shocks And Equity Premiums: A Note," Macroeconomic Dynamics, Cambridge University Press, vol. 18(5), pages 1161-1171, July.
- Stan Olijslagers & Sweder Wijnbergen, 2024. "Discounting the Future: On Climate Change, Ambiguity Aversion and Epstein–Zin Preferences," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(3), pages 683-730, March.
- Richard S. J. Tol & Gary W. Yohe, 2006. "A Review of the Stern Review," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 7(4), pages 233-250, October.
- Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).
- Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
- Robert J. Barro, 2015.
"Environmental Protection, Rare Disasters and Discount Rates,"
Economica, London School of Economics and Political Science, vol. 82(325), pages 1-23, January.
- Robert J. Barro, 2013. "Environmental Protection, Rare Disasters, and Discount Rates," NBER Working Papers 19258, National Bureau of Economic Research, Inc.
- Pindyck, Robert S., 2019.
"The social cost of carbon revisited,"
Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 140-160.
- Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
- Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2014.
"Volatility, the Macroeconomy, and Asset Prices,"
Journal of Finance, American Finance Association, vol. 69(6), pages 2471-2511, December.
- Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron, 2012. "Volatility, the Macroeconomy and Asset Prices," NBER Working Papers 18104, National Bureau of Economic Research, Inc.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013.
"Crises and Recoveries in an Empirical Model of Consumption Disasters,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008. "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers 1089, Society for Economic Dynamics.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
- Gilboa, Itzhak & Schmeidler, David, 1989.
"Maxmin expected utility with non-unique prior,"
Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Gilboa, Itzhak & Schmeidler, David, 1986. "Maxmin Expected Utility with a Non-Unique Prior," Foerder Institute for Economic Research Working Papers 275405, Tel-Aviv University > Foerder Institute for Economic Research.
- Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
- Yang, Jie & Huang, Yijing & Takeuchi, Kenji, 2022.
"Does drought increase carbon emissions? Evidence from Southwestern China,"
Ecological Economics, Elsevier, vol. 201(C).
- Jie Yang & Yijing Huang & Kenji Takeuchi, 2020. "Does Drought Increase Carbon Emissions? Evidence from Southwestern China," Discussion Papers 2015, Graduate School of Economics, Kobe University.
- Robert J. Barro, 2009.
"Rare Disasters, Asset Prices, and Welfare Costs,"
American Economic Review, American Economic Association, vol. 99(1), pages 243-264, March.
- Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc.
- Shiba Suzuki & Hiroaki Yamagami, 2024. "On the effects of pessimism toward pollution-driven disasters on equity premiums," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(2), pages 167-181, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Keiichi Morimoto & Shiba Suzuki, 2022. "Ambiguity in a pandemic recession, asset prices, and lockdown policy," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 24(5), pages 1039-1070, October.
- Shiba Suzuki & Hiroaki Yamagami, 2024. "On the effects of pessimism toward pollution-driven disasters on equity premiums," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(2), pages 167-181, December.
- Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
- Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
- Thomas Douenne, 2020.
"Disaster Risks, Disaster Strikes, and Economic Growth: the Role of Preferences,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 251-272, October.
- Thomas Douenne, 2019. "Disaster risks, disaster strikes and economic growth: the role of preferences," Working Papers 2019.05, FAERE - French Association of Environmental and Resource Economists.
- Thomas Douenne, 2020. "Disaster risks, disaster strikes, and economic growth: The role of preferences," PSE-Ecole d'économie de Paris (Postprint) halshs-02973075, HAL.
- Thomas Douenne, 2020. "Disaster risks, disaster strikes, and economic growth: The role of preferences," Post-Print halshs-02973075, HAL.
- Sönksen, Jantje & Grammig, Joachim, 2021.
"Empirical asset pricing with multi-period disaster risk: A simulation-based approach,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
- Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018.
"Ambiguity and the historical equity premium,"
Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
- Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Post-Print halshs-00594096, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," PSE-Ecole d'économie de Paris (Postprint) halshs-01886571, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
- Stan Olijslagers & Sweder van Wijnbergen, 2019.
"Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences,"
Tinbergen Institute Discussion Papers
19-030/VI, Tinbergen Institute.
- van Wijnbergen, Sweder & Olijslagers, Stan, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
- Olijslagers, Stan & van der Ploeg, Frederick & van Wijnbergen, Sweder, 2023.
"On current and future carbon prices in a risky world,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Stan W.J. Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On Current and Future Carbon Prices in a Risky World," CESifo Working Paper Series 9092, CESifo.
- Stan Olijslagers & Rick van der Ploeg & Sweder van Wijnbergen, 2021. "On current and future carbon prices in a risky world," Tinbergen Institute Discussion Papers 21-045/VI, Tinbergen Institute.
- Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
- Robert Barro & Tao Jin, 2021.
"Rare Events and Long-Run Risks,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
- Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
- Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
- Robert J. Barro & Tao Jin, 2016. "Rare events and long-run risks," AEI Economics Working Papers 905253, American Enterprise Institute.
- Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
- Robert Barro & Tao Jin, 2021.
"Rare Events and Long-Run Risks,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
- Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016.
"Long-Run Risk Is the Worst-Case Scenario,"
American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Christian Gollier & James Hammitt & Nicolas Treich, 2013.
"Risk and choice: A research saga,"
Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," IDEI Working Papers 804, Institut d'Économie Industrielle (IDEI), Toulouse.
- Gollier, Christian & Hammitt, James K. & Treich, Nicolas, 2013. "Risk and Choice: A Research Saga," TSE Working Papers 13-444, Toulouse School of Economics (TSE).
- Han, Leyla Jianyu & Kasa, Kenneth & Luo, Yulei, 2024. "Ambiguity, information processing, and financial intermediation," Journal of Economic Theory, Elsevier, vol. 222(C).
- 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.
- Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
- Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
- Suzuki, Shiba, 2014.
"An exploration of the effect of doubt during disasters on equity premiums,"
Economics Letters, Elsevier, vol. 123(3), pages 270-273.
- Shiba Suzuki, 2013. "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers 22, Meisei University, School of Economics.
- Isoré, Marlène & Szczerbowicz, Urszula, 2017.
"Disaster risk and preference shifts in a New Keynesian model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
- Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
- M. Isor & Urzula Szczerbowicz, 2016. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working papers 614, Banque de France.
- Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
- Reinhart, Carmen M. & Reinhart, Vincent & Rogoff, Kenneth, 2015.
"Dealing with debt,"
Journal of International Economics, Elsevier, vol. 96(S1), pages 43-55.
- Carmen M. Reinhart & Vincent Reinhart & Kenneth Rogoff, 2014. "Dealing with Debt," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 43-55, National Bureau of Economic Research, Inc.
- Reinhart, Carmen M. & Reinhart, Vincent & Rogoff, Kenneth, 2015. "Dealing with Debt," Working Paper Series rwp15-009, Harvard University, John F. Kennedy School of Government.
- Reinhart, Carmen M. & Reinhart, Vincent & Rogoff, Kenneth S., 2015. "Dealing with debt," Scholarly Articles 23936571, Harvard University Department of Economics.
More about this item
Keywords
; ; ; ;JEL classification:
- G1 - Financial Economics - - General Financial Markets
- E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-25-00023. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.