Time-Varying Risk of Disaster, Time-varying Risk Premia, and Macroeconomic Dynamics

经验金融文献提供了大量的证据表明，风险溢价是随时间变化的。然而，标准的商业周期模型，如真实的商业周期模型，或用于货币政策分析的DSGE模型，在很大程度上无法复制风险溢价的水平和周期性。这似乎是一个重要的忽视，因为实证研究表明，风险溢价和经济活动之间的紧密联系：违约溢价与投资，股票市场，长期溢价和（负）短期利率导致GDP.Introducing随时间变化的风险溢价需要解决的商业周期模型使用非线性方法，即超越一阶近似，并考虑？高阶项？研究人员对这些高阶项的重要性意见不一，标准观点是它们与宏观经济量无关。PI的结果表明，然而，这并不总是如此。该提案介绍了随时间变化的风险溢价在一个标准的商业周期模型，通过一个小的，随时间变化的风险？灾难？灾难的可能性，如战争或经济萧条，可以产生巨大的风险溢价。然而，现有的工作迄今为止仅限于禀赋经济，因此没有考虑随时间变化的风险溢价对宏观经济活动的反馈。这种经济灾难的风险可能是一种纯粹的理性预期，或者更一般地说，它可能反映了一种不等于客观概率的随时间变化的信念，随时间变化的风险溢价（这里是由灾难概率的增加引起的）可以通过两个重要渠道影响宏观经济总量。首先，贴现率上升，利差扩大，资产价值下降，这往往会减少总投资，直接通过资本成本效应，间接通过影响抵押品价值。总就业和总产出也会下降，导致经济衰退。这些商业周期动态发生在全要素生产率没有变化的情况下。在某些情况下，灾害概率的增加在观测上等同于偏好冲击，这很有意思，因为这些冲击在解释数据方面似乎很重要（例如Smets和Wouters（2003年））。最后，这个简单的模型至少在定性上，而且可能在定量上，与上述资产价格和宏观经济之间的超前滞后关系是一致的。这将是第一篇论文。第二个渠道（这将是另一篇论文）是风险溢价的变化影响从事风险投资的意愿。经济活动转向风险较低、预期回报较低的项目，这会降低总生产率和产出。这种再分配效应具有有趣的微观含义，PI在提案中对此提供了一些支持。提案中还讨论了其他几个有趣的扩展。拟议活动的更广泛影响DSGE模型正在成为宏观经济政策分析甚至预测的主力，但其中大多数都抽象于风险溢价和经济的金融方面。该提案将导致朝这个方向取得进展，这对于积极和规范分析都很重要。这个模型特别有助于思考？湍流？在资产市场，如最近的金融危机：许多评论家强调，美国经济可能会陷入另一个大萧条的可能性。该模型研究了这种随时间变化的信念的宏观经济影响。这也是一种模式吗？资产价格泡沫？因为它提供了一个连贯的框架，资产价格可以因为与当前或未来生产率无关的原因而波动。在研究合作方面，该项目涉及许多领域，包括商业周期，资产定价和投资理论，因此希望这些领域之间有更多的互动

Intellectual MeritThe empirical finance literature has provided substantial evidence that risk premia are time-varying. Yet, standard business cycle models such as the real business cycle model, or the DSGE models used for monetary policy analysis, largely fail to replicate the level and cyclicality of risk premia. This seems an important neglect, since empirical work suggests a tight connection between risk premia and economic activity: the default premium is correlated with investment, and the stock market, the term premium and (negatively) the short rate lead GDP.Introducing time-varying risk premia requires solving a business cycle model using nonlinear methods, i.e. going beyond the first-order approximation and considering ?higher order terms?. Researchers disagree on the importance of these higher order terms, and the standard view is that they are irrelevant for macroeconomic quantities. The PI's results show, however, that this is not always the case.The proposal introduces time-varying risk premia in a standard business cycle model, through a small, time-varying risk of a ?disaster?. The possibility of disasters, such as wars or economic depressions, can generate large risk premia. Existing work has so far confined itself to endowment economies however, and hence does not consider the feedback from time-varying risk premia to macroeconomic activity. This risk of an economic disaster could be a purely rational expectation, or more generally it could reflect a time-varying belief which is not equal to the objective probability.There are two important channels through which time-varying risk premia (here caused by an increase in the probability of disaster) can affect macroeconomic aggregates. First, discount rates increase, spreads widen, and asset values fall, which tends to reduce aggregate investment, directly through a cost-of-capital effect and indirectly by affecting collateral values. Aggregate employment and output also fall, leading to a recession. These business cycle dynamics occur with no change in total factor productivity. Under some conditions the increase in probability of disaster is observationally equivalent to a preference shock, which is interesting since these shocks appear to be important in accounting for the data (e.g. Smets and Wouters (2003)). Finally, this simple model is at least qualitatively, and potentially quantitatively, consistent with the lead-lag relationships between asset prices and the macroeconomy mentioned above. This would be a first paper.The second channel (which would be another paper) is that changes in risk-premia affect the willingness to engage in risky investments. Economic activity turns to lower risk, lower expected return projects, which has the effect of lowering aggregate productivity and output. This reallocation effect has interesting micro-implications, for which the PI provides some support in the proposal.There are several other interesting extensions which are discussed in the proposal.Broader Impact of the Proposed ActivityDSGE models are becoming the workhorse for macroeconomic policy analysis and even forecasting, yet most of them abstract from risk premia and the financial side of the economy. The proposal would lead to progress in this direction, which is important for positive as well as normative analysis. This model is especially helpful in thinking about periods of ?turbulence? in asset markets, such as the recent financial crisis: many commentators have highlighted the possibility that the U.S. economy could fall into another Great Depression. This model studies the macroeconomic effects of such time-varying beliefs. This is also a model of ?asset pricing bubbles? in that it gives a coherent framework where asset prices can move for reasons unrelated to current or future productivity. In terms of research cooperation, the project touches on many areas, including business cycle, asset pricing, and investment theory, and hence would hopefully lead to more interaction between these fields