ON THE SIZE DISTRIBUTION OF MACROECONOMIC DISASTERS
ON THE SIZE DISTRIBUTION OF MACROECONOMIC DISASTERS
复制标题
DOI：
10.3982/ecta8827
复制
发表时间：
2011-09-01
期刊：
影响因子：
6.1
通讯作者：
Jin, Tao
中科院分区：
文献类型：
--
作者：
Barro, Robert J.;Jin, Tao
相对风险厌恶系数是分析风险行为的一个关键参数，但对该参数的良好估计并不存在。一个有希望进行可靠估计的地方是罕见的宏观经济灾难，它们对股票溢价有重大影响。溢价取决于灾害发生的概率和规模分布，以人均消费或国内生产总值的比例下降来衡量。36个国家的长期国民账户数据提供了规模在10%或以上的大灾难样本。幂律密度很好地拟合了大小分布，上尾指数alpha估计在4左右。较高的alpha表示尾部较细，因此股票溢价较低，而较高的相对风险厌恶系数gamma则意味着较高的溢价。如果b>，溢价是有限的。观察到的5%溢价产生的估计伽马值接近3,95%置信区间为2到4。结果对灾害概率和股权溢价值的不确定性具有鲁棒性，并且可以适应看似矛盾的情况，即股权溢价可能看似无限。
The coefficient of relative risk aversion is a key parameter for analyses of behavior toward risk, but good estimates of this parameter do not exist. A promising place for reliable estimation is rare macroeconomic disasters, which have a major influence on the equity premium. The premium depends on the probability and size distribution of disasters, gauged by proportionate declines in per capita consumption or gross domestic product. Long-term national-accounts data for 36 countries provide a large sample of disasters of magnitude 10% or more. A power-law density provides a good fit to the size distribution, and the upper-tail exponent, alpha, is estimated to be around 4. A higher alpha signifies a thinner tail and, therefore, a lower equity premium, whereas a higher coefficient of relative risk aversion, gamma, implies a higher premium. The premium is finite if alpha > gamma. The observed premium of 5% generates an estimated gamma close to 3, with a 95% confidence interval of 2 to 4. The results are robust to uncertainty about the values of the disaster probability and the equity premium, and can accommodate seemingly paradoxical situations in which the equity premium may appear to be infinite.