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Replication data for: Disaster Risk and Business Cycles
- openicpsr.org
Updated May 1, 2012
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EmailClick to copy linkLink copiedCiteFrançois Gourio (2012). Replication data for: Disaster Risk and Business Cycles [Dataset]. http://doi.org/10.3886/E112558V1Unique identifierhttps://doi.org/10.3886/E112558V1Dataset updatedMay 1, 2012Dataset provided byAmerican Economic AssociationAuthorsFrançois GourioDescriptionMotivated by the evidence that risk premia are large and countercyclical, this paper studies a tractable real business cycle model with a small risk of economic disaster, such as the Great Depression. An increase in disaster risk leads to a decline of employment, output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well data on quantities, asset prices, and particularly the relations between quantities and prices, suggesting that variation in aggregate risk plays a significant role in some business cycles. (JEL E13, E32, E44, G32)
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Replication data for: Disaster Risk and Business Cycles
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Updated Mar 5, 2020ShareFacebookTwitterEmailClick to copy linkLink copiedCiteGourio, François (2020). Replication data for: Disaster Risk and Business Cycles [Dataset]. http://doi.org/10.3886/E112558Unique identifierhttps://doi.org/10.3886/E112558Dataset updatedMar 5, 2020Dataset provided byGESIS search
ICPSR - Interuniversity Consortium for Political and Social ResearchAuthorsGourio, FrançoisLicensehttps://search.gesis.org/research_data/datasearch-httpwww-da-ra-deoaip--oaioai-da-ra-de699735https://search.gesis.org/research_data/datasearch-httpwww-da-ra-deoaip--oaioai-da-ra-de699735
DescriptionAbstract (en): Motivated by the evidence that risk premia are large and countercyclical, this paper studies a tractable real business cycle model with a small risk of economic disaster, such as the Great Depression. An increase in disaster risk leads to a decline of employment, output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well data on quantities, asset prices, and particularly the relations between quantities and prices, suggesting that variation in aggregate risk plays a significant role in some business cycles. (JEL E13, E32, E44, G32)
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FacebookTwitterEmailMotivated by the evidence that risk premia are large and countercyclical, this paper studies a tractable real business cycle model with a small risk of economic disaster, such as the Great Depression. An increase in disaster risk leads to a decline of employment, output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well data on quantities, asset prices, and particularly the relations between quantities and prices, suggesting that variation in aggregate risk plays a significant role in some business cycles. (JEL E13, E32, E44, G32)