Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters. (11th July 2014)

• Record Type: Journal Article
• Authors: Brzezinski, Michal
• Is Part Of: Journal of applied econometrics. Volume 30:Number 1(2015)
• Page Start: 170
• Page End: 175
• Publication Date: 2014-07-11
• Subjects: Econometrics -- Periodicals; 330.015195
• DOI: 10.1002/jae.2402
• Languages: English
• ISSNs: 0883-7252

Abstract

<abstract abstract-type="main" id="jae2402-abs-0001"> <title>Summary</title> <p id="jae2402-para-0001">The coefficient of relative risk aversion is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, <italic>Econometrica</italic> 2011; <bold>79</bold>(3): 434–455) have come up with a new estimation approach that fits a power‐law model to the tail of distribution of macroeconomic disasters. We show that their results can be successfully replicated using a more refined power‐law fitting methodology and a more comprehensive dataset. Copyright © 2014 John Wiley &amp; Sons, Ltd.</p> </abstract>