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Jerry Tsai

Personal Details

First Name:Jerry
Middle Name:
Last Name:Tsai
Suffix:
RePEc Short-ID:pts130
[This author has chosen not to make the email address public]

Affiliation

(50%) Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/
RePEc:edi:sfeixuk (more details at EDIRC)

(50%) Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/
RePEc:edi:omioxuk (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.
  2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  3. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  4. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    2. van Wijnbergen, Sweder & Olijslagers, Stan, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
    3. Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
    4. Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).

  2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.

    Cited by:

    1. Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021. "Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
    2. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    3. NguyenHuu, Tam, 2022. "The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)," Finance Research Letters, Elsevier, vol. 45(C).
    4. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    5. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    6. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    7. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    8. Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and state-level stock market realized volatility," Journal of Financial Markets, Elsevier, vol. 66(C).
    9. Lin, Xu & van Wijnbergen, Sweder, 2023. "The Social Cost of Carbon under Climate Volatility Risk," CEPR Discussion Papers 18210, C.E.P.R. Discussion Papers.
    10. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    11. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    12. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    13. Franzke, Christian L.E., 2021. "Towards the development of economic damage functions for weather and climate extremes," Ecological Economics, Elsevier, vol. 189(C).
    14. Tam NguyenHuu & Deniz Karaman Orsal, 2022. "Geopolitical risks and financial stress in emerging economies," Working Papers 2022.09, International Network for Economic Research - INFER.
    15. Christos Karydas & Anastasios Xepapadeas, 2019. "Climate change risks: pricing and portfolio allocation," CER-ETH Economics working paper series 19/327, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    16. Bruno Ćorić & Vladimir Šimić, 2021. "Economic disasters and aggregate investment," Empirical Economics, Springer, vol. 61(6), pages 3087-3124, December.
    17. Acharya, Viral & Johnson, Timothy & Sundaresan, Suresh & Zheng, Steven, 2020. "The Value of a Cure: An Asset Pricing Perspective," CEPR Discussion Papers 15558, C.E.P.R. Discussion Papers.
    18. Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
    19. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
    20. Agliardi, Elettra & Agliardi, Rossella, 2021. "Pricing climate-related risks in the bond market," Journal of Financial Stability, Elsevier, vol. 54(C).
    21. Rangan Gupta & Qiang Ji & Christian Pierdzioch, 2024. "Climate Policy Uncertainty and Financial Stress: Evidence for China," Working Papers 202428, University of Pretoria, Department of Economics.
    22. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    23. Bruno Coric & Blanka Peric Skrabic, 2020. "Income Tax Evasion: Recovery from Economic Disasters," CERGE-EI Working Papers wp676, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    24. van Wijnbergen, Sweder & Olijslagers, Stan, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," CEPR Discussion Papers 13708, C.E.P.R. Discussion Papers.
    25. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    26. Nicolas Caramp & Dejanir H. Silva, 2021. "Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity," Working Papers 341, University of California, Davis, Department of Economics.
    27. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
    28. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
    29. Elie Bouri & Rangan Gupta & Asingamaanda Liphadzi & Christian Pierdzioch, 2024. "Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks," Working Papers 202424, University of Pretoria, Department of Economics.
    30. Jessica Wachter & Mete Kilic, 2017. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," 2017 Meeting Papers 129, Society for Economic Dynamics.
    31. Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
    32. Mr. Alessandro Cantelmo & Mr. Giovanni Melina & Mr. Chris Papageorgiou, 2019. "Macroeconomic Outcomes in Disaster-Prone Countries," IMF Working Papers 2019/217, International Monetary Fund.
    33. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    34. William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016. "Crash Beliefs From Investor Surveys," NBER Working Papers 22143, National Bureau of Economic Research, Inc.
    35. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
    36. François Gourio & Anil K. Kashyap & Jae W. Sim, 2017. "The Tradeoffs in Leaning Against the Wind," Working Paper Series WP-2017-21, Federal Reserve Bank of Chicago.
    37. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    38. Sergeyev, Dmitriy & Mehrotra, Neil, 2020. "Debt Sustainability in a Low Interest Rate World," CEPR Discussion Papers 15282, C.E.P.R. Discussion Papers.
    39. Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.
    40. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
    41. Qiu, Hua & Sha, Yezhou & Zhang, Yixing, 2024. "Energy affordability and subjective well-being in China: Causal inference, heterogeneity, and the mediating role of disaster risk," Energy Economics, Elsevier, vol. 129(C).
    42. Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
    43. Jessica A. Wachter & Michael Jacob Kahana, 2019. "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers 26200, National Bureau of Economic Research, Inc.
    44. Karydas, Christos & Xepapadeas, Anastasios, 2022. "Climate change financial risks: Implications for asset pricing and interest rates," Journal of Financial Stability, Elsevier, vol. 63(C).
    45. Mete Kilic & Jessica A. Wachter, 2015. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers 21575, National Bureau of Economic Research, Inc.

  3. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.

    Cited by:

    1. Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021. "Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
    2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    3. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    4. Lanfear, Matthew G. & Lioui, Abraham & Siebert, Mark G., 2019. "Market anomalies and disaster risk: Evidence from extreme weather events," Journal of Financial Markets, Elsevier, vol. 46(C).
    5. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
    6. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    7. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
    9. Bo Liu & Yingjie Niu & Jinqiang Yang & Zhentao Zou, 2020. "Time‐varying risk of rare disasters, investment, and asset pricing," The Financial Review, Eastern Finance Association, vol. 55(3), pages 503-524, August.
    10. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
    11. George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
    12. Ahdi Noomen Ajmi & Roula Inglesi-Lotz, 2021. "Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint," Working Papers 202171, University of Pretoria, Department of Economics.
    13. Tsai, Jerry & Wachter, Jessica A., 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, vol. 177(C), pages 848-878.

  4. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

    Cited by:

    1. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    3. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    4. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
  2. NEP-MIC: Microeconomics (1) 2018-07-09
  3. NEP-MON: Monetary Economics (1) 2013-07-28
  4. NEP-UPT: Utility Models and Prospect Theory (1) 2018-07-09

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