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Research Summary
Research Summary
  • Research Summary

Rare Consumption Disasters

By: Emil N. Siriwardane
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    Description

    Another defining feature of financial crises is consumption disasters, or large drops in aggregate consumption. Rather than taking the standard approach of seeking implications of such rare disasters for asset pricing in consumption data, Professor Siriwardane asks how options markets should behave if such disasters do in fact drive long-run asset prices. The results of his analysis provide empirical support for the rare consumption disasters paradigm.

    Emil N. Siriwardane

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