Learning, slowly unfolding disasters, and asset prices

We develop a model that generates slowly unfolding disasters not only in the macroeconomy but also in financial markets. In our model, investors cannot exactly distinguish whether the economy is experiencing a mild/temporary downturn or is on the verge of a severe/prolonged disaster. Due to imperfec...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 2022-01, Vol.143 (1), p.527-549
Hauptverfasser:	Ghaderi, Mohammad, Kilic, Mete, Seo, Sang Byung
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Bayesian learning COVID-19 Disasters Economic crisis Economic disasters Investors Learning Market crises Prices Put-protected portfolios Securities markets VIX
Online-Zugang:	Volltext
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