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前景和理解资产定价方面发挥着核心作用。PI上一次的跨国研究可以追溯到1870年，它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，包括高股票溢价和低无风险回报率。目前的项目计划大幅扩展多达40个国家的长期国民账户数据。这些数据是当前项目不可或缺的组成部分，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与资产市场之间的相互作用。这项研究的一部分考虑了超国家层面的资产定价，比如经合组织或各种地区性机构。这一应用要求在超国家层面上构建人均消费支出和国内生产总值的衡量标准。另一部分将灾害大小的分布符合幂指数密度函数，从而允许潜在的灾害超过1870年以来的大型越野样本中观察到的任何灾害。这一扩展使得以较低的风险厌恶程度来解释所观察到的股权溢价成为可能。进一步的工作将使用人均消费支出和国内生产总值的整个跨国时间序列来估计发生灾害的可能性、灾害期间宏观经济总量的演变、从灾害恢复到正常状态的可能性、以及灾害对国内生产总值和消费只有暂时影响的程度(由于灾后强劲的复苏)。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临时性。进一步的工作将使用股票指数期权价格和利率的质量利差来得出时变灾难概率的衡量标准。这一分析可以解释资产价格的波动，并考虑到股票溢价的时变性。最后一期将详细研究1917-20年的大流感疫情，将其视为一场导致宏观经济普遍收缩的冲击，通常在1920-21年出现低谷。更广泛的影响。最近房地产、金融和大宗商品市场的国际动荡，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、跨国的国民账户数据进行进一步研究，以了解这些罕见的经济灾难的频率、规模和宏观经济作用。这项研究试图澄清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。第一个研究需要是构建更长期的数据，这对理解罕见事件至关重要。到目前为止，包括美国在内的几个国家的研究和计划中的未来努力都解决了这一需求。这些数据是本研究的核心，但也将对其他宏观经济学家有很多用处。第二个研究需要是该提案的核心部分，涉及对罕见灾害、经济波动和资产定价的基本理论和经验分析的进一步进展。

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.