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Extreme inflation and time-varying expected consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022
alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …
Persistent link: https://www.econbiz.de/10012797771
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Forecast accuracy matters for hurricane damage
Martinez, Andrew B. - In: Econometrics : open access journal 8 (2020) 2/18, pp. 1-24
I analyze damage from hurricane strikes on the United States since 1955. Using machine learning methods to select the most important drivers for damage, I show that large errors in a hurricane's predicted landfall location result in higher damage. This relationship holds across a wide range of...
Persistent link: https://www.econbiz.de/10012265501
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Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …
Persistent link: https://www.econbiz.de/10012000570
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Rare disaster risk and the expected equity risk premium
Berkman, Henk; Jacobsen, Ben; Lee, John B. - In: Accounting and finance : journal of the Accounting … 57 (2017) 2, pp. 351-372
Persistent link: https://www.econbiz.de/10011756376
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Do natural disasters increase financial risks? : an empirical analysis
Chang, Chun Ping; Zhang, Wan-Li - In: Bulletin of monetary economics and banking 23 (2020), pp. 61-86
Persistent link: https://www.econbiz.de/10012423145
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Modelling catastrophic risk in international equity markets : an extreme value approach
Cotter, John - In: Applied financial economics letters 2 (2006) 1, pp. 13-17
Persistent link: https://www.econbiz.de/10003301507
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Extreme weather and risk preference : panel evidence from Germany
Kahsay, Goytom Abraha; Osberghaus, Daniel - 2016
Individual risk preference may change after experiencing external socio-economic or natural shocks. Theoretical … predictions and empirical studies suggest that risk taking may increase or decrease after experiencing shocks. So far the … whether experiencing financial and health-related damage caused by storms affects risk preference of individuals in Germany …
Persistent link: https://www.econbiz.de/10011454120
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Time-varying disaster risk models : an empirical assessment of the Rietz-Barro hypothesis
Irarrazabal, Alfonso; Parra-Alvarez, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10011516994
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Climate disasters and the macroeconomy : does state-dependence matter? : evidence for the US
Ginn, William - In: Economics of disasters and climate change 6 (2022) 1, pp. 141-161
Persistent link: https://www.econbiz.de/10013169386
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Aggregate Tail Risk and Expected Returns
Chapman, David A. - 2016
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 …
Persistent link: https://www.econbiz.de/10013005673