less resilient ones, reflecting their lower exposure to disaster risk. Hence, going forward, markets appear to price …

risk in the face of disaster …

from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My … Bayesian analysis demonstrates that in some aspects advanced countries are more exposed to disaster risk, while in others their … persistent. Advanced countries are also more likely to experience a global disaster, whereas disasters in emerging countries tend …

-varying bond risk premia based on a model with rare consumption disaster risk. In the model, consumption is subject to large … jumps in inflation during disasters increases nominal yields and yield spread, while time-variation in disaster probability …

-varying risk of economic disaster. Both asset prices and macroeconomic aggregates respond to this time-varying risk. The model is … prices. An increase in the risk of disaster leads to a collapse of investment and a recession, with no current or future … risky securities increase. To assess the empirical validity of the model, I infer the probability of disaster from observed …

Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk … then narrowed, but disaster exposure still commanded a risk premium in December 2020. When inferred from market outcomes …

disaster risk on asset prices. An analysis based on postwar U.S. and historical multi-country panel data yields estimates of … magnitudes. These findings suggest that the rare disaster hypothesis can help restore the nexus between the real economy and … financial markets when allowing for multi-period disaster events.Our methodological contribution is a new econometric framework …