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Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters*

* This paper is a replication of an original study

Author

Listed:
  • Michal Brzezinski
Abstract
The coefficient of relative risk aversion (CRRA) is notoriously difficult to estimate. Recently, Barro and Jin (On the size distribution of macroeconomic disasters, Econometrica 2011; 79(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 data set.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Michal Brzezinski, 2015. "Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 170-175, January.
    • Handle: RePEc:wly:japmet:v:30:y:2015:i:1:p:170-175
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    Citations

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    Cited by:

    1. Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.
    2. Michał Brzeziński, 2013. "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers 2013-32, Faculty of Economic Sciences, University of Warsaw.

    Replication

    This item is a replication of:
  • Robert J. Barro & Tao Jin, 2011. "On the Size Distribution of Macroeconomic Disasters," Econometrica, Econometric Society, vol. 79(5), pages 1567-1589, September.

    • More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Relative Risk Aversion and Power-Law Distribution of Macroeconomic Disasters (Journal of Applied Econometrics 2015) in ReplicationWiki

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