alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

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 …

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

equities has far outperformed that of risk-free, short-term US treasuries. Although there have been countless proposed … solutions, all have failed as these attempts implicitly assume perfectly-correct inflation statistics. Examining these … assumptions, we discover that not only are the inflation numbers materially flawed, but more so, there are significant incentives …

theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. A comparable …

-Debreu economy to show that disagreement increases the equity premium. When incorporating this in our estimation, we find little …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …

in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Such a …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …