Stock-Market Crashes and Depressions

172 citations recorded by the source corpus.

How researchers see this paper

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Rare Macroeconomic Disasters (2012, background): “Barro and Ursúa (2009) looked directly at the first-order condition that applies, as in Eq.”
The Great Recession: US dynamics and spillovers to the world economy (2012, unknown): “Finally, the FVAR form in (7) can be inverted to obtain the following reduced-form vector moving average () representation for the Z process: Z = H() ε (8)”
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008, unknown): “Specifically, Barro and Ursua (2009) address the question: Given a large decline in the stock market, how much more likely is a decline in consumption than otherwise?”
Asset pricing tests with long run risks in consumption growth (2011, unknown): “Finally, Cov( ct+1; dt+1) = (1 + sx)V ar (xt) + ( s 1)Cov(xt; st) + 2 (53) Equations (47)-(53) give 7 moment restrictions.”
Financial and Sovereign Debt Crises: Some Lessons Learned and Those Forgotten (2013, unknown): “In addition, the Barro and Ursua (2009) definition of a stock market crash has been used for the 25 countries in their sample (a subset of the 66-country sample, except for Switzerland) for the period 1864–2006; their crash definition was also updated through June 2010, to compile the BCDI+ index.”
Stock Market Volatility and the Business Cycle (2010, unknown): “Our classification into crash periods follows Bloom (2009).”