52ca6dc1___Carlson_School_of_Management__Presentation
[Date] 10/10/2014 [Presentation] 
Tyler Muir, Yale “ Financial Crises and Risk Premia Financial Crises and Risk Premia (606.92 KB) ” I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and over 14 countries. I document that risk premia increase substantially in financial crises, but not in the other episodes. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so standard macro asset pricing models will have trouble matching this variation. Comparing crises to “deep” recessions strengthens these findings further. I also find the equity of the financial sector forecasts returns. Taken together, the results suggest that the health of the financial sector is important for understanding why aggregate risk premia vary. I calibrate an intermediary asset pricing model and show it can match the data.
Finance Department Guest Seminar Archives 2010-Present | Carlson School of Management
Presentation