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Seminar on International Economics
发布日期：2001-04-06 10:30 来源：北京大学国家发展研究院
时间：2016年4月6日（周三）10：30－12：00 am
地点：北大国发院/中国经济研究中心512教室
主持人：余淼杰、余昌华
主讲人：Tao JIN (金涛) (Tsinghua University)
题目：Rare Events and Long-run Risks
摘要：Rare events (RE) and long-run risks (LRR) are complementary elements for understanding asset-pricing patterns， including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 economies. RE typically associates with major historical episodes，such as the world wars and the Great Depression and analogous country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A match between the model and observed average rates of return requires a coefficient of relative risk aversion, gamma，around 6. Most of the explanation for the equity premium derives from RE although LRR makes a moderate contribution. We think the required gamma will decline (and，thereby, become more realistic) if we allow for incomplete information about the underlying shocks，including the breakdown of RE into temporary and permanent parts. We thought that the addition of LRR to the RE framework would help to match the observed volatility of equity returns. However，the joint model still substantially understates this volatility. We think this aspect of the model will improve if we allow for stochastic evolution of the disaster probability.
主讲人简介：Tao JIN 金涛获Harvard经济学硕士和博士，Rochester数学硕士和博士，并拥有北京大学概率与统计硕士学位以及武汉大学经济学与数学学士学位。金涛博士已在经济学顶级期刊Econometrica上发表论文，并担任Econometrica, QJE等顶级期刊的审稿人。
演讲者的CV与所用论文请见附件。
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Seminar on International Economics
发布日期：2001-04-06 10:30 来源：北京大学国家发展研究院
时间：2016年4月6日（周三）10：30－12：00 am
地点：北大国发院/中国经济研究中心512教室
主持人：余淼杰、余昌华
主讲人：Tao JIN (金涛) (Tsinghua University)
题目：Rare Events and Long-run Risks
摘要：Rare events (RE) and long-run risks (LRR) are complementary elements for understanding asset-pricing patterns， including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 economies. RE typically associates with major historical episodes，such as the world wars and the Great Depression and analogous country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A match between the model and observed average rates of return requires a coefficient of relative risk aversion, gamma，around 6. Most of the explanation for the equity premium derives from RE although LRR makes a moderate contribution. We think the required gamma will decline (and，thereby, become more realistic) if we allow for incomplete information about the underlying shocks，including the breakdown of RE into temporary and permanent parts. We thought that the addition of LRR to the RE framework would help to match the observed volatility of equity returns. However，the joint model still substantially understates this volatility. We think this aspect of the model will improve if we allow for stochastic evolution of the disaster probability.
主讲人简介：Tao JIN 金涛获Harvard经济学硕士和博士，Rochester数学硕士和博士，并拥有北京大学概率与统计硕士学位以及武汉大学经济学与数学学士学位。金涛博士已在经济学顶级期刊Econometrica上发表论文，并担任Econometrica, QJE等顶级期刊的审稿人。
演讲者的CV与所用论文请见附件。
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