Dette prosjektet analyserer forholdet mellom prising av finansielle goder og økonomiske fluktuasjoner. Vi anvender en økonomisk modell der finanspriser i hovedsak er bestemt av investors frykt for store, men uvanlige, økonomiske nedgangstider slik som ble observert i perioden 2008-10. Vi modellerer en sannsynlighet for fall i inntekt og dividende som varierer over tid. Vi konstruerer en generell modell der investorers preferanser forklarer årsaken til risikoaversjon og villigheten til å substituere konsum over tid som følge av en reduksjon i fremtidig formue. Blant forskere i makroøkonomi og finans har verdien av elastisiteten av intertemporal substitusjon (EIS) lenge vært debattert. Makroøkonomiske modeller er basert på en EIS-verdi under 1. Derimot forutsetter finansprisingsmodeller EIS-verdier over 1 for å kunne forklare empiriske trekk ved datamaterialet knyttet til forutsigbarheten av avkastningen. Vi estimerer EIS til å være mellom 1,5 og 3,5. Dette betyr at modellen vår kan forklare ulike finansmarkedsfenomener uten å måtte forutsette at investorer er urimelig risikoaverse.
We do not have actual outcomes. See note in Special Reports.
The weakening of the world economy in 2008-2010 brought in an economic collapse that translated into a sharp contraction in economic activity with its associated effects on unemployment, savings and welfare. The inability of macroeconomic models to predict this collapse led to a renewed interest in what is known in financial economics as the disaster risk or rare-events hypothesis. According to this premise, the possibility of a catastrophic event (e.g. financial or economic depressions) is key to rationalize the observed co-movement between financial returns andeconomic variables, like output, consumption and employment.
This project aims to test the ability of such hypothesis to explain the feedback between macroeconomics and finance. It does so by first assessing its applicability in developed, as well as in emerging economies. In a second stage, the project establishes the foundations to build economic models capable of rationalizing the origins and consequences of economic disasters similar to the recent financial crisis. These models will provide policy makers with tools to build early warning indicators to accurately implement economic policies when the financial conditions of households and firms deteriorate, such as in the fall of 2008.
The team (at BI and Aarhus University) has already been working with disaster risk models previously. We will use this expertise to understand how these models can be extended to reconcile asset pricing puzzles across countries and over time. Similarly, we will extend the framework to understandthe comovement of financial and real variables in sudden stops episodes.
We will use the resources of the project to fund the costs of acquiring data, equipment andthe travelling needed to gathered the group on a regular basis.