Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance

By Xavier Gabaix. 2008

151 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a53eb97126e0cad0ee70980068f92602c4406758

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sam Fankhauser
2. Costis Skiadas
3. Thomas K. J. McDermott
4. Holger Kraft

In Finance

1. Sam Fankhauser
2. Costis Skiadas
3. Thomas K. J. McDermott
4. Holger Kraft

Citations in the corpus

• Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (2011, unknown): “Additional examples of candidate auxiliary models are the quadratic models studied by Ahn, Dittmar, and Gallant (2002) or the linearity-generating processes introduced by Gabaix (2008, 2009).”
• Understanding the adaptation deficit: why are poor countries more vulnerable to climate events than rich countries? (2013, background): “There is also a strand of literature on the welfare impacts of economic “disasters” (Barro 2006, Gabaix 2008).”
• Partisan conflict and private investment (2015, unknown): “Studies highlighting the effects of time-varying volatility caused by rare events (Gabaix, 2008; Shen 2005; Kelly and Jiang 2014, among others) have mainly focused on how tail risks affect stock market behavior.”
• Smooth Ambiguity Aversion toward Small Risks and Continuous-Time Recursive Utility (2013, background): “For example, unpredictable jumps have for quite some time played an essential role in the modeling of …nancial time series and option pricing (see Cont and Tankov (2004) for an overview), while macroeconomic models involving small disaster probabilities have been receiving increasing attention in th”
• The Lucas Orchard (2011, unknown): “…lognormal models make poor predictions for key asset-pricing quantities such as the equity premium and riskless rate (Mehra and Prescott (1985)), and recently there has been increased interest in models which allow for the possibility of disasters (Rietz (1988), Barro (2006), Gabaix (2008)).”