risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and …

particularly the incorporation of China and India into the world market economy. For 29 countries since 1919, the levels and trends …

dividend yield--would be close to the risk-free rate, estimated to be around 1%. We study these properties within an asset ….1%) confidence band along with a small risk premium for gold. In this scenario, the bulk of gold's expected return corresponds to the …

economies. RE typically associates with major historical episodes, such as the world wars and the Great Depression and analogous … match between the model and observed average rates of return requires a coefficient of relative risk aversion, γ, around 6 …

.1 percent of world population, implying 150 million deaths when applied to current population. Regressions with annual …

with key asset-pricing observations. If the coefficient of relative risk aversion equals 3-4, the model accords with … observed equity premia and risk-free real interest rates. If the intertemporal elasticity of substitution is greater than one … welfare cost of aggregate consumption uncertainty. In the baseline simulation, the welfare cost of disaster risk is large …