Can time-varying risk of rare disasters explain aggregate stock market volatility?

not allow the probabilities of rare disasters to vary over time. Rather, Gabaix assumes that the degree of the response of dividends to a consumption disaster varies over time; it is this variability that drives volatility in his model. This sharply contrasts with the driving force of stock market volatility in this paper: the changing risk of a rare disaster.

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Year of publication:	2008
Authors:	Wachter, Jessica
Institutions:	Society for Economic Dynamics - SED

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Series:	2008 Meeting Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2008 SED Meeting Papers Number 944
Source:	RePEc - Research Papers in Economics

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