Do Mood Fluctuations Generate Higher Fluctuations of Asset Prices During Disasters

摘要：

This paper extends the framework of Mehra and Sah (2002)into a rare disaster model，and examines whether or not mood fluctuations generate higher asset prices fluctuations during disasters．Our answer is that it depends on the elasticity of intertemporal substitution．When there is a disaster,all fluctuations in subjective preferences (discount factors，risk aversion and the elasticity of intertemporal substitution)have significant impacts on fluctuations of equity prices，but only small effects on fluctuations of bond prices．

关键词： Mood Fluctuation Asset Prices Volatility Rare Disaster

作者: CHEN Yanbin HUANG Chunchun ZHANG Lci

作者单位: School of Economics，Renmin University of China，Beijing 100872 China School of Economics and Management，Beihang University,Beijing 100191，China Department of Economics，University of Califomia-Los Angeles，USA

会议类型: 国际会议

会议名称: The First International Conference on Complexity Science Management(2010 计算机与软件建模国际会议 ICCSM2010)

会议地点: 武汉

会议语种:英文

页码: 28-33

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）