Rare Disasters, Macroeconomic Fluctuations, and Asset Markets

罕见灾害、宏观经济波动与资产市场

• 批准号: 0849496
• 负责人: Robert Barro
• 金额: $ 28.77万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-03-01 至 2015-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0849496&HistoricalAwards=false
• 关键词: Rare; Disasters; Macroeconomic; Fluctuations; Asset

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.

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着核心作用。PI之前的跨国研究可以追溯到1870年，使用现有和新的宏观经济数据来量化罕见灾难在解释重大资产定价难题中的作用，包括高股权溢价和低无风险回报率。目前的项目计划为多达40个国家大幅度扩充长期国民账户数据。这些数据是当前项目的组成部分，但也将对许多经济学家进行的研究具有重要价值。目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和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，如经合组织或各种区域总量。这一应用要求在超国家一级构建人均消费支出和国内生产总值的计量。另一部分将灾害规模的分布拟合为幂律密度函数，从而允许潜在的灾害超过1870年以来在大型跨国样本中观察到的任何灾害。这种扩展使得有可能解释观察到的股权溢价与较低程度的风险厌恶。进一步的工作将使用人均消费支出和国内生产总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生产总值和消费仅产生暂时影响的程度（因为灾后恢复强劲）。这一分析将表明资产定价如何取决于灾害的可能持续时间和灾害影响的部分临时性质。进一步的工作将使用股票指数期权价格和利率的质量价差来衡量随时间变化的灾害概率。这种分析可以解释资产价格的波动，也考虑到随时间变化的股权溢价。最后一个扩展部分将详细研究1917 - 20年的大流感疫情，将其作为一次冲击，导致普遍的宏观经济收缩，并在1920 - 21年出现低谷。更广泛的影响。最近房地产、金融和商品市场的国际动荡以及联邦和其他决策者的强烈反应反映了人们对新一轮大萧条的担忧。需要利用长期的跨国国民账户数据进行进一步研究，以了解这类罕见经济灾难的频率、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、福利和最佳政府政策的重要性。第一个研究需求，对于理解罕见事件至关重要，是构建更长期的数据。包括美国在内的一些国家在迄今为止的研究和计划中的未来努力中已经解决了这一需要。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处。第二个研究需求是提案的核心部分，涉及罕见灾害、经济波动和资产定价的基本理论和实证分析的进一步进展。