ECB paper models economic impact of 'disaster risk'

ecb-frankfurt

A working paper, published by the European Central Bank (ECB) on August 21, develops a model to test the impact of investors incorporating "disaster risk" – the expected probability of severe recession – into equity prices, finding this affects the wider economy.

The author, François Gourio, combines a real business cycle model with an exogenously time-varying measure of disaster risk based on the price-dividend ratio. "An increase in disaster risk leads to a decline of output, investment, stock

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: