Time-Varying Risk of Disaster, Time-varying Risk Premia, and Macroeconomic Dynamics

时变灾害风险、时变风险溢价和宏观经济动态

• 批准号: 0922600
• 负责人: Francois Gourio
• 金额: --
• 依托单位: Trustees of Boston University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-09-01 至 2012-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0922600&HistoricalAwards=false
• 关键词: Time; Varying; Risk; Disaster; varying

Intellectual MeritThe empirical finance literature has provided substantial evidence that risk premia are time-varying. Yet, standard business cycle models such as the real business cycle model, or the DSGE models used for monetary policy analysis, largely fail to replicate the level and cyclicality of risk premia. This seems an important neglect, since empirical work suggests a tight connection between risk premia and economic activity: the default premium is correlated with investment, and the stock market, the term premium and (negatively) the short rate lead GDP.Introducing time-varying risk premia requires solving a business cycle model using nonlinear methods, i.e. going beyond the first-order approximation and considering ?higher order terms?. Researchers disagree on the importance of these higher order terms, and the standard view is that they are irrelevant for macroeconomic quantities. The PI's results show, however, that this is not always the case.The proposal introduces time-varying risk premia in a standard business cycle model, through a small, time-varying risk of a ?disaster?. The possibility of disasters, such as wars or economic depressions, can generate large risk premia. Existing work has so far confined itself to endowment economies however, and hence does not consider the feedback from time-varying risk premia to macroeconomic activity. This risk of an economic disaster could be a purely rational expectation, or more generally it could reflect a time-varying belief which is not equal to the objective probability.There are two important channels through which time-varying risk premia (here caused by an increase in the probability of disaster) can affect macroeconomic aggregates. First, discount rates increase, spreads widen, and asset values fall, which tends to reduce aggregate investment, directly through a cost-of-capital effect and indirectly by affecting collateral values. Aggregate employment and output also fall, leading to a recession. These business cycle dynamics occur with no change in total factor productivity. Under some conditions the increase in probability of disaster is observationally equivalent to a preference shock, which is interesting since these shocks appear to be important in accounting for the data (e.g. Smets and Wouters (2003)). Finally, this simple model is at least qualitatively, and potentially quantitatively, consistent with the lead-lag relationships between asset prices and the macroeconomy mentioned above. This would be a first paper.The second channel (which would be another paper) is that changes in risk-premia affect the willingness to engage in risky investments. Economic activity turns to lower risk, lower expected return projects, which has the effect of lowering aggregate productivity and output. This reallocation effect has interesting micro-implications, for which the PI provides some support in the proposal.There are several other interesting extensions which are discussed in the proposal.Broader Impact of the Proposed ActivityDSGE models are becoming the workhorse for macroeconomic policy analysis and even forecasting, yet most of them abstract from risk premia and the financial side of the economy. The proposal would lead to progress in this direction, which is important for positive as well as normative analysis. This model is especially helpful in thinking about periods of ?turbulence? in asset markets, such as the recent financial crisis: many commentators have highlighted the possibility that the U.S. economy could fall into another Great Depression. This model studies the macroeconomic effects of such time-varying beliefs. This is also a model of ?asset pricing bubbles? in that it gives a coherent framework where asset prices can move for reasons unrelated to current or future productivity. In terms of research cooperation, the project touches on many areas, including business cycle, asset pricing, and investment theory, and hence would hopefully lead to more interaction between these fields

知识分子优点，经验金融文献提供了大量证据，表明风险溢价是时间变化的。然而，标准的商业周期模型，例如真实的商业周期模型或用于货币政策分析的DSGE模型，在很大程度上无法复制风险溢价的水平和周期性。这似乎是一个重要的忽视，因为经验工作表明风险溢价与经济活动之间存在紧密的联系：默认的溢价与投资相关，股票市场，级别的溢价和（负）短期率领导GDP.INTRODEDCONTREDUCTIAN-TRIMEDUCTICTUCY PRIMEIA需要使用非线性订单来解决较高的订单，即更高的订单，即订购较高，并考虑到较高的订单，并考虑吗？研究人员不同意这些高阶术语的重要性，而标准观点是它们与宏观经济量无关。但是，PI的结果表明，情况并非总是如此。该提案通过标准商业周期模型中的时变风险溢价，这是通过灾难的小，时变的风险？战争或经济沮丧等灾难的可能性可能会产生巨大的风险首要。到目前为止，现有的工作仅限于捐赠经济体，因此，不考虑随着时变风险溢价到宏观经济活动的反馈。这种经济灾难的风险可能是一个纯粹的理性期望，或者更普遍地反映了时间变化的信念，该信念不等于客观的概率。有两个重要的渠道，这两个重要的渠道通过这些渠道，随着时间变化的风险溢价（这里是由于灾难可能性的增加而引起的）会影响宏观经济聚集。首先，折现率增加，扩大差异和资产价值下降，这往往会直接通过资本成本效应，并通过影响附带价值而间接减少投资。总体就业和产出也下降，导致衰退。这些商业周期动态发生，总要素生产率没有变化。在某些条件下，灾难的可能性在观察上等同于偏好冲击，这很有趣，因为这些冲击在计算数据中似乎很重要（例如Smets和Wouters（2003））。最后，这个简单的模型至少在定性上是定量的，并且可能与资产价格与上述宏观经济之间的铅滞后关系一致。这将是第一篇论文。第二个渠道（这是另一篇论文）是风险质量的变化会影响从事风险投资的意愿。经济活动转向降低风险，预期的回报项目降低，这具有降低总生产率和产出的影响。这种重新分配效应具有有趣的微诱因，为PI提供了一些支持。在提案中讨论了其他一些有趣的扩展。所提出的ActivityDsge模型的影响力正在成为宏观经济策略分析的工作马，甚至是预测，但其中大多数从风险中的Premia和Fanancile Felancial Chand and the Chancers Chancia and Flancial Chancia and the Fancial Cheravent。该提议将导致朝这个方向发展，这对于正面和规范分析很重要。该模型在思考“湍流”时期特别有用？在诸如最近的金融危机之类的资产市场中：许多评论员强调了美国经济可能陷入另一个大萧条的可能性。该模型研究了这种时间变化的信念的宏观经济效应。这也是资产定价气泡的模型？因为它提供了一个连贯的框架，资产价格可以出于与当前或将来的生产率无关的原因而行动。在研究合作方面，该项目涉及许多领域，包括商业周期，资产定价和投资理论，因此有望导致这些领域之间的更多互动