Rare Disasters and Exchange Rates *

DOI10.1093/qje/qjv040zbMath1400.91245OpenAlexW2154820696MaRDI QIDQ4963053

Emmanuel Farhi, Xavier Gabaix

Publication date: 6 November 2018

Published in: The Quarterly Journal of Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/qje/qjv040

zbMATH Keywords

optionsinterest ratesexchange ratesrisk premiarare disasters

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Rare disasters, exchange rates, and macroeconomic policy: evidence from COVID-19 ⋮ Fifth-order perturbation solution to DSGE models ⋮ Estimation and inference about tail features with tail censored data ⋮ Gain/loss asymmetric stochastic differential utility ⋮ Rare disaster concerns and economic fluctuations ⋮ Asset prices in segmented and integrated markets ⋮ Empirical asset pricing with multi-period disaster risk: a simulation-based approach ⋮ Deep habits and exchange rate pass-through ⋮ Pricing with finite dimensional dependence

This page was built for publication: Rare Disasters and Exchange Rates *