| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w14760
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| 来源ID | Working Paper 14760
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| Stock-Market Crashes and Depressions |
| Robert J. Barro; José F. Ursúa
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| 发表日期 | 2009-02-25
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| 出版年 | 2009
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| 语种 | 英语
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| 摘要 | Long-term data for 30 countries up to 2006 reveal 232 stock-market crashes (multi-year real returns of -25% or less) and 100 depressions (multi-year macroeconomic declines of 10% or more), with 71 of the cases matched by timing. The United States has two of the matched events--the Great Depression 1929-33 and the post-WWI years 1917-21, likely driven by the Great Influenza Epidemic. 41% of the matched cases are associated with war, and the two world wars are prominent. Conditional on a stock-market crash (return of -25% or less) in a non-war environment, the probability of a minor depression (macroeconomic decline of at least 10%) is 22% and of a major depression (at least 25%) is 3%. For contexts of currency or banking crises that occur during times of global distress, these probabilities rise to 46% and 8%, respectively. These depression odds applied to the stock-market crashes of 2008 in the United States and many other countries. In reverse and again in a non-war environment, the probability of a stock-market crash (return of -25% or worse) is 67%, conditional on a depression of 10% or more, and 83% for 25% or more. Thus, the largest depressions are particularly likely to be accompanied by stock-market crashes. We allow for flexible timing between stock-market crashes and depressions for the 71 matched cases to compute the covariance between stock returns and an asset-pricing factor, which depends on the proportionate decline of consumption during a depression. If we assume a coefficient of relative risk aversion around 3.5, this covariance is large enough to account in a familiar looking asset-pricing formula for the observed average (levered) equity premium of 7% per year. This finding complements previous analyses that were based on the probability and size distribution of macroeconomic disasters but did not consider explicitly the covariance between macroeconomic declines and stock returns. |
| 主题 | Macroeconomics
; Consumption and Investment
; Money and Interest Rates
; Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w14760
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572436
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推荐引用方式
GB/T 7714 |
Robert J. Barro,José F. Ursúa. Stock-Market Crashes and Depressions. 2009.
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文件名：
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w14760.pdf
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格式：
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Adobe PDF
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