shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the …

regional-level mitigation or adaptation, which reduces disaster risks to capital in the interim. Mitigation depends on belief … regarding the adverse consequences of global warming. Pessimism jumps with a disaster and slowly reverts in the absence of … increasing cyclone frequency. For a typical country exposed to cyclones, a disaster arrival not only damages its capital stock …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … specifications for the stochastic rare disaster probability and show that the data favor a multifrequency process. Finally, we show …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

pre-disaster trend, and do not recover within twenty years. Both rich and poor countries exhibit this response, with … suppression of annual growth rates spread across the fifteen years following disaster, generating large and significant cumulative … continuous exposure to disaster. Linking these results to projections of future cyclone activity, we estimate that under …