Disaster risk
“The shock event of this past week is clearly a negative one. It is negative in the most important sense that it presumably increases the real risk premium for long-term capital investment, for fairly obvious reasons. That is, the longer-term environment for which capital investment decisions currently are being made must be perceived to be less certain and potentially of considerably more concern than one would have felt earlier. How significant that deterioration is I think is exceptionally difficult to judge. Indeed, one can envision a scenario--it’s a low probability scenario but scarcely zero--that this tragic event could create a fairly pronounced and significant shift in the political structure in the world (...)”
Alan Greenspan, FOMC conference call meeting on 9-13-2001. Link
(18) Accounting for macro-finance trends (with Emmanuel Farhi)
Brookings Paper on Economic Activity, 2019
(16) The tradeoffs in leaning against the wind
(with Anil Kashyap and Jae Sim)
IMF Economic Review, 2018
(10) Credit risk and Disaster risk
AEJ: Macroeconomics Best Paper Prize, 2015
American Econ. Journal: Macroeconomics, 5(3):1-34, July 2013.
Online appendix and Replication code (zip).
(with Michael Siemer and Adrien Verdelhan)
Journal of International Economics, 89(2):471-484, 2013.
(8) Disaster Risk and Business Cycles
American Economic Review, 102(6):2734-2766, 2012. Appendix Programs.
Previous version (simpler model, empirical exercise) and Appendix Programs.
(3) Time Series Predictability in the Disaster Model.
Finance Research Letters, 5(4): 191-203, 2008. Computational Appendix. Programs (zip)
American Economic Review - Papers and Proceedings, 98(2): 68-73, 2008. Correction