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Effects of Disaster Risks on the Asset Prices and Consumption Smoothing

Research Project

Project/Area Number 23730310
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Public finance/Monetary economics
Research InstitutionMeisei University

Principal Investigator

SUZUKI SHIBA  明星大学, 経済学部, 准教授 (60583325)

Project Period (FY) 2011-04-28 – 2015-03-31
Project Status Completed (Fiscal Year 2014)
Budget Amount *help
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Keywords大災害リスク / 金融史 / 主観的確率 / 株式リスクプレミアム / 大災害 / 金融危機 / 戦時機の金融市場 / 資産価格形成 / 資産価格
Outline of Final Research Achievements

Recently, many researchers pay serious attentions to the impacts on the effects of disaster, such as the war, financial crises, and natural disasters, on the asset prices and many macroeconomic variables. In this research project, I conducted empirical and theoretical research to investigate the effects of the disaster risks on the asset prices and consumption smoothing behavior. As a result, I theoretically demonstrate that the disaster risks play an important role in resolving the equity premium puzzle. At the same time, I also empirically demonstrate that some historical facts observed in financial markets suggest that such theoretical resolutions nave some defeats.

Report

(5 results)
  • 2014 Annual Research Report   Final Research Report ( PDF )
  • 2013 Research-status Report
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (16 results)

All 2015 2014 2013 2012 2011 Other

All Journal Article (5 results) (of which Peer Reviewed: 3 results,  Open Access: 2 results) Presentation (11 results) (of which Invited: 6 results)

  • [Journal Article] IS-LMモデルにおけるコールレート操作の理解について2015

    • Author(s)
      鈴木史馬・堀健夫・盛本圭一
    • Journal Title

      青山經濟論集

      Volume: 66 Pages: 79-101

    • Related Report
      2014 Annual Research Report
  • [Journal Article] Persistent Catastrophic Shocks and Equity Premiums: A Note2014

    • Author(s)
      Saito, M. and S. Suzuki
    • Journal Title

      Macroeconomic Dynamics

      Volume: 18 Issue: 5 Pages: 1161-1171

    • DOI

      10.1017/s1365100512000740

    • Related Report
      2014 Annual Research Report 2013 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] An Exploration of the Effect of Doubt during Disasters on Equity Premiums2014

    • Author(s)
      Suzuki, S.
    • Journal Title

      Economics Letters

      Volume: 123 Issue: 3 Pages: 270-273

    • DOI

      10.1016/j.econlet.2014.02.010

    • Related Report
      2014 Annual Research Report 2013 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Stock Market Booms in Economies Damaged during the World War II2012

    • Author(s)
      Suzuki, S.
    • Journal Title

      Research in Economics

      Volume: 66 Issue: 2 Pages: 175-183

    • DOI

      10.1016/j.rie.2012.02.002

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] 太平洋戦争と証券市場;東京株式取引所短期清算市場の概観2012

    • Author(s)
      鈴木史馬
    • Journal Title

      明星大学経済学研究紀要

      Volume: 44 Pages: 39-51

    • Related Report
      2012 Research-status Report
  • [Presentation] Rank as an information feedback: Theory and Evidence from a field experiment2015

    • Author(s)
      鈴木史馬
    • Organizer
      経済理論政策ワークショップ
    • Place of Presentation
      青山学院大学
    • Year and Date
      2015-03-02
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] "Overreaction" of Asset Prices in an Economy with Incomplete Markets2013

    • Author(s)
      Suzuki, S.
    • Organizer
      The 19th International Conference on Computing in Economics and Finance
    • Place of Presentation
      Vancouver, BC, Canada
    • Related Report
      2013 Research-status Report
  • [Presentation] Credit Easing Policy in an Incomplete Markets Economy2012

    • Author(s)
      Suzuki, Shiba,
    • Organizer
      第7回若手経済学者のためのマクロ経済学コンファレンス
    • Place of Presentation
      京都キャンパスプラザ、京都府
    • Related Report
      2012 Research-status Report
    • Invited
  • [Presentation] Credit Easing Policy in an Incomplete Markets Economy2012

    • Author(s)
      Suzuki, Shiba
    • Organizer
      27th Annual Congress of the European Economic Association
    • Place of Presentation
      Malaga, Spain
    • Related Report
      2012 Research-status Report
  • [Presentation] Liquidity Constrained Households, Leverage Constrained Financial Intermediary, and Financial Instabilities2012

    • Author(s)
      鈴木史馬
    • Organizer
      3rd Meeting on Applied Economics and Data Analysis
    • Place of Presentation
      国立環境研究所(茨城県)
    • Related Report
      2011 Research-status Report
  • [Presentation] Liquidity Constrained Households, Leverage Constrained Financial Intermediary, and Financial Instabilities2011

    • Author(s)
      鈴木史馬
    • Organizer
      DSGE Conference
    • Place of Presentation
      沖縄国際大学(沖縄県)
    • Related Report
      2011 Research-status Report
  • [Presentation] Liquidity Constrained Households, Leverage Constrained Financial Intermediary, and Financial Instabilities2011

    • Author(s)
      鈴木史馬
    • Organizer
      Summer Workshop on Economic Theory
    • Place of Presentation
      小樽商科大学
    • Related Report
      2011 Research-status Report
  • [Presentation] Overreaction" of Asset Prices in an Economy with Incomplete Markets

    • Author(s)
      鈴木史馬
    • Organizer
      ミニコンファレンスオンアセットプライシング
    • Place of Presentation
      一橋大学
    • Related Report
      2013 Research-status Report
    • Invited
  • [Presentation] "Overreaction" of Asset Prices in an Economy with Incomplete Markets

    • Author(s)
      鈴木史馬
    • Organizer
      岡山大学現代経済セミナー
    • Place of Presentation
      岡山大学
    • Related Report
      2013 Research-status Report
    • Invited
  • [Presentation] "Overreaction" of Asset Prices in an Economy with Incomplete Markets

    • Author(s)
      鈴木史馬
    • Organizer
      武蔵経済セミナー
    • Place of Presentation
      武蔵大学
    • Related Report
      2013 Research-status Report
    • Invited
  • [Presentation] "Overreaction" of Asset Prices in an Economy with Incomplete Markets

    • Author(s)
      鈴木史馬
    • Organizer
      数理経済学会セミナー
    • Place of Presentation
      慶應義塾大学
    • Related Report
      2013 Research-status Report
    • Invited

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Published: 2011-08-05   Modified: 2019-07-29  

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