TY  - UNPD
A1  - Branger, Nicole
A1  - Kraft, Holger
A1  - Meinerding, Christoph
T1  - The dynamics of crises and the equity premium
T2  - SAFE working paper series ; No. 11
N2  - There has been a considerable debate about whether disaster models can rationalize the equity premium puzzle. This is because empirically disasters are not single extreme events, but long-lasting periods in which moderate negative consumption growth realizations cluster. Our paper proposes a novel way to explain this stylized fact. By allowing for consumption drops that can spark an economic crisis, we introduce a new economic channel that combines long-run and short-run risk. First, we document that our model can match consumption data of several countries. Second, it generates a large equity risk premium even if consumption drops are of moderate size.
T3  - SAFE working paper - 11 [neue Version] 
KW  - General Equilibrium
KW  - Asset Pricing
KW  - Recursive Preferences
KW  - Long-run Risk
KW  - Short-run Risk
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34324
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-343248
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1633480
N1  - Als SAFE working paper series ; No. 11 erschien schon 2013 u.d.T. "How does contagion affect general equilibrium asset prices?" urn:nbn:de:hebis:30:3-293819
IS  - version: October 17, 2014
PB  - SAFE
CY  - Frankfurt am Main
ER  -