Replication data for: Crises and Recoveries in an Empirical Model of Consumption Disasters
Principal Investigator(s): View help for Principal Investigator(s) Emi Nakamura; Jón Steinsson; Robert Barro; José Ursúa
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| DisastersDataAndPrograms | 10/12/2019 09:48:PM | ||
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text/plain | 14.6 KB | 10/12/2019 05:48:PM |
Project Citation:
Nakamura, Emi, Steinsson, Jón, Barro, Robert, and Ursúa, José. Replication data for: Crises and Recoveries in an Empirical Model of Consumption Disasters. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114277V1
Project Description
Summary:
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We estimate an empirical model of consumption disasters using new
data on consumption for 24 countries over more than 100 years, and
study its implications for asset prices. The model allows for partial
recoveries after disasters that unfold over multiple years. We
find that roughly half of the drop in consumption due to disasters
is subsequently
reversed. Our model generates a sizable equity premium
from disaster risk, but one that is substantially smaller than
in simpler models. It implies that a large value of the intertemporal
elasticity of substitution is necessary to explain stock-market crashes
at the onset of disasters.
Scope of Project
JEL Classification:
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E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
E21 Macroeconomics: Consumption; Saving; Wealth
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
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