Rare Disasters, Macroeconomic Fluctuations, and Asset Markets

罕见的经济灾难，如大萧条和第二次世界大战，在评估不确定的宏观经济未来和理解资产定价方面发挥了核心作用。早在1870年，PI就利用现有的和新的宏观经济数据，对罕见灾害在解释主要资产定价难题（包括高股票溢价和低无风险回报率）中的作用进行了量化。目前的项目计划大幅扩大多达40个国家的长期国民核算数据。这些数据是当前项目不可或缺的一部分，但对于许多经济学家进行的研究也将具有重要价值。当前的应用程序将使用新数据进一步研究罕见的宏观经济灾难与资产市场之间的相互作用。研究的一部分考虑了超国家层面的资产定价，比如经合组织（OECD）或各个地区的总合。这种应用需要在超国家层面构建人均消费支出和GDP的度量。另一部分将灾难规模的分布与幂律密度函数相匹配，从而允许潜在的灾难超过1870年以来在大型跨国样本中观察到的任何灾难。这种扩展使得可以用较低程度的风险厌恶来解释观察到的股权溢价。进一步的工作将利用人均消费支出和国内总产值的全部跨国时间序列来估计灾害的可能性、灾害期间宏观经济总量的演变、从灾害恢复正常的可能性以及灾害对国内总产值和消费仅产生暂时影响的程度（由于灾后的强劲恢复）。这一分析将表明，资产定价如何取决于灾难可能持续的时间，以及灾难影响的部分暂时性。进一步的工作将使用股指期权价格和利率的质量价差来推导出随时间变化的灾难概率的度量。这种分析可以解释资产价格的波动，也可以考虑时变的股权溢价。最后一个扩展部分将详细研究1917- 1920年的大流感疫情，这是一场导致宏观经济普遍收缩的冲击，通常在1920- 1921年出现低谷。更广泛的影响。最近国际上房地产、金融和商品市场的动荡，以及美联储和其他政策制定者的强烈反应，反映了人们对新一轮大萧条的担忧。需要使用长期的、跨国的国民账户数据进行进一步研究，以了解这类罕见经济灾害的频率、规模和宏观经济作用。本研究旨在阐明这些事件对资产市场、经济波动、福利和最优政府政策的意义。对理解罕见事件至关重要的第一个研究需求是构建更长期的数据。这一需要已在迄今为止的研究和包括美国在内的几个国家计划的未来努力中得到解决。这些数据是本研究的核心，但对其他宏观经济学家也有许多用途。第二个研究需求是提案的核心部分，涉及对罕见灾害、经济波动和资产定价的基础理论和实证分析的进一步进展。

Rare economic disasters, such as the Great Depression and World War II, play a central role in assessing the uncertain macroeconomic future and in understanding the pricing of assets. The PI's previous cross-country research back to 1870 used existing and new macroeconomic data to quantify the role of rare disasters in explaining major asset-pricing puzzles, including the high equity premium and low risk-free rate of return. The current project plans a substantial expansion of the long-term national-accounts data for up to 40 countries. These data are integral to the current project but will also be of great value for studies carried out by many economists. The current application will use the new data to study further the interplay between rare macroeconomic disasters and asset markets. One part of the research considers asset pricing at the super-national level, such as the OECD or various regional aggregates. This application requires the construction of measures of per capita consumer expenditure and GDP at super-national levels. Another part fits the distribution of disaster sizes to a power-law density function, thereby allowing for potential disasters that exceed any observed within the large cross-country sample back to 1870. This extension makes it possible to explain the observed equity premium with a lower degree of risk aversion. Further work will use the full cross-country time series of per capita consumer spending and GDP to estimate the probability of disaster, the evolution of macroeconomic aggregates during disasters, the probability of returning from disaster to normalcy, and the extent to which disasters have only temporary effects on GDP and consumption (because of strong post-disaster recoveries). This analysis will show how asset pricing depends on the likely duration of disasters and on the partly temporary nature of disaster effects. Further work will use stock-index options prices and quality spreads in interest rates to derive measures of time-varying disaster probabilities. This analysis can explain the volatility of asset prices and also allow for time-varying equity premia. A final extension will study in detail the Great Influenza Epidemic of 1917-20 as a shock that led to a widespread macroeconomic contraction with troughs typically in 1920-21. Broader Impacts. The recent international turmoil in housing, financial, and commodity markets and the strong responses of the Federal Reserve and other policymakers reflect fears of a new Great Depression. Further study using long-term, cross-country national-accounts data is needed to understand the frequencies, sizes, and macroeconomic role of these kinds of rare economic disasters. This study seeks to clarify the significance of these events for asset markets, economic fluctuations, welfare, and optimal government policies. The first research need, critical for understanding rare events, is the construction of more long-term data. This need has been addressed in research to date and in planned future efforts for several countries, including the United States. These data are central for the present study but will also have numerous uses for other macroeconomists. The second research need, a central part of the proposal, involves further progress in the underlying theoretical and empirical analysis of rare disasters, economic fluctuations, and asset pricing.