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OverviewIn this study, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the disaster takes time to unfold and is not directly observable. The model generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates predictability in returns. Full Product DetailsAuthor: Federal Reserve BoardPublisher: Createspace Independent Publishing Platform Imprint: Createspace Independent Publishing Platform Dimensions: Width: 21.60cm , Height: 0.20cm , Length: 28.00cm Weight: 0.104kg ISBN: 9781503231191ISBN 10: 1503231194 Pages: 34 Publication Date: 15 November 2014 Audience: General/trade , General Format: Paperback Publisher's Status: Active Availability: In stock  We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |
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