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Rare disaster concerns and economic fluctuations

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  • Hao, Yijun
  • Su, Hao
  • Zhu, Xiaoneng

Abstract

This paper provides empirical evidence that disaster risk concerns predict real economic fluctuations. We construct a forward-looking disaster concerns measure using Manela and Moreira (2017) indicators. Consistent with theories on rare disaster risks and macro-economy, this measure forecasts future economic activities.

Suggested Citation

  • Hao, Yijun & Su, Hao & Zhu, Xiaoneng, 2020. "Rare disaster concerns and economic fluctuations," Economics Letters, Elsevier, vol. 195(C).
    • Handle: RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302810
    DOI: 10.1016/j.econlet.2020.109454
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    References listed on IDEAS

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    1. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017. "Credit-Market Sentiment and the Business Cycle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(3), pages 1373-1426.
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    4. Bryan Kelly & Seth Pruitt, 2013. "Market Expectations in the Cross-Section of Present Values," Journal of Finance, American Finance Association, vol. 68(5), pages 1721-1756, October.
    5. John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
    6. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
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    Cited by:

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    2. Baldi, Mauro Maria & Mammana, Cristiana & Michetti, Elisabetta, 2024. "The κ-logistic growth model. Qualitative and quantitative dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 225(C), pages 350-369.

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    More about this item

    Keywords

    Disaster risk; Predictability; Economic forecast;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G1 - Financial Economics - - General Financial Markets

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