We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

This paper incorporates the dividend recovery feature into the variable disaster model of Gabaix (2012). The recovery … redistributes risk to the short end and volatility to the long end, leading to the following equity term structures: (1) for one …

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset … empirical support for the rare disaster hypothesis, and help restore the nexus between real economy and financial markets …

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … thus provide empirical support for the rare disaster hypothesis, and help reconcile the nexus between real economy and …

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … for the rare disaster hypothesis, and help reconcile the nexus between real economy and financial markets implied by the …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk … disaster probability, have a statistically significant and economically large impact on both the mean and volatility of world … the involvement of major powers. Using predictive regressions, there is no significant relation between crisis risk and …