About: Rare events and long-run risks()

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Rare events and long-run risks()
Creator	Chen, Hui Jin, Tao Campbell, John Barro, Robert Dew-Becker, Ian Dou, Winston Ibragimov, Rustam Jin, Keyu Laibson, David Luo, Yulei Mikusheva, Anna Nakamura, Emi Shephard, Neil Steinsson, Jón Stella, Andrea Stock, James Ursúa, José Van Dijk, Herman
Source	Elsevier; Medline; PMC
abstract	Rare events (RE) and long-run risks (LRR) are complementary approaches for characterizing macroeconomic variables and understanding asset pricing. We estimate a model with RE and LRR using long-term consumption data for 42 economies, identify these two types of risks simultaneously from the data, and reveal their distinctions. RE typically associates with major historical episodes, such as world wars and depressions and analogous country-specific events. LRR reflects gradual processes that influence long-run growth rates and volatility. A match between the model and observed average rates of return on equity and short-term bonds requires a coefficient of relative risk aversion, γ, around 6. Most of the explanation for the equity premium derives from RE, although LRR makes a moderate contribution. However, LRR helps in fitting the Sharpe ratio. Generating good matches to the equity premium and Sharpe ratio simultaneously is still challenging.
has issue date	2020-08-20(xsd:dateTime)
bibo:doi	10.1016/j.red.2020.08.002
bibo:pmid	32843834
has license	no-cc
sha1sum (hex)	beba2327aa498b489ceab667deca28ffa13b3a04
schema:url	https://doi.org/10.1016/j.red.2020.08.002
resource representing a document's title	Rare events and long-run risks()
has PubMed Central identifier	PMC7440026
has PubMed identifier	32843834
schema:publication	Rev Econ Dyn
resource representing a document's body	covid:beba2327aa498b489ceab667deca28ffa13b3a04#body_text
is schema:about of	named entity 'risks' named entity 'CONSUMPTION' named entity 'VARIABLES' named entity 'typically' named entity 'rare events' named entity 'Federal Reserve' named entity 'finite interval' named entity 'sample size' named entity 'MCMC' named entity 'Portugal' named entity 'stochastic volatility' named entity 'volatility' named entity 'United Kingdom' named entity 'volatility' named entity 'macroeconomic' named entity '4.2' named entity 'variables' named entity 'LRR' named entity 'long-run' named entity 'long-run' named entity 'growth rates' named entity 'equity premium' named entity 'Sharpe ratio' named entity 'volatility' named entity 'dispersion' named entity 'long-run' named entity 'long-run' named entity 'pricing kernel' named entity 'unknown quantities' named entity 'risk-free rate' named entity 'discount factor' named entity 'solved in closed form' named entity 'variance' named entity 'stochastic volatility' named entity 'standard deviation' named entity 'maximum-likelihood estimate' named entity 'probability' named entity 'long-run' named entity 'Sharpe ratio' named entity 'equity returns' named entity 'truncated normal distribution' named entity 'dummy variable' named entity 'stochastic' named entity 'dividend' named entity 'exponential distribution' named entity 'consumption growth' named entity 'volatility' named entity 'formal model' named entity 'normal distribution' named entity 'GMM' named entity 'Italy' named entity 'Australia' named entity 'rare events' named entity 'macroeconomic' named entity 'uniform distribution' named entity 'volatility' named entity 'return on equity' named entity 'equity premium' named entity 'asset pricing' named entity '1 million' named entity 'government sector' named entity 'Chapter 11' named entity 'autoregressive' named entity 'economic growth'

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