Effects of Disaster Risks on the Asset Prices and Consumption Smoothing

2014 Fiscal Year Final Research Report

• Project/Area Number: 23730310
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Public finance/Monetary economics
• Research Institution: Meisei 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
• 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

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.

Free Research Field

マクロ経済学