Opis projektu
Nowa metodologia ukierunkowana na zachowania rynkowe i katastrofy
Tradycyjne metody nie radzą sobie z przewidywaniem zachowań rynkowych i reagowaniem na katastrofy. Zespół finansowanego przez Europejską Radę ds. Badań Naukowych projektu Disasters zaproponował przełomowe rozwiązanie. Biorąc pod uwagę, że na niepewność rynkową wpływają zwyczajne wstrząsy lub ruchy Browna, podejście opracowane w ramach projektu Disasters analizuje możliwość wystąpienia skoków i katastrof. Inną kwestią, którą zajęto się w ramach projektu, jest brak ram alokacji zasobów w obliczu różnych potencjalnych katastrof. Zespół projektu Disasters proponuje wykorzystanie obserwowalnych danych o cenach aktywów i zapewnienie decydentom politycznym ram dla złagodzenia związanego z nimi ryzyka. Praca ta niesie ze sobą ogromny potencjał poprawy naszego zrozumienia kwestii zarządzania katastrofami.
Cel
My proposal consists of two strands linked by a common theme--namely a concern for the impact of disasters, in financial markets and more generally--and by a shared methodology.
In the first of these strands, I propose to develop ways of using observable asset price data to infer the beliefs of market participants about various quantities that are central to financial economics, including (i) the equity premium; (ii) the forward-looking autocorrelation of the market (i.e. time-series momentum); (iii) the risk premia associated with individual stocks; (iv) the correlation between stocks; and (v) measures of asymmetric risk, such as the forward-looking probability of a significant downward jump in the stock market over some prescribed time period.
This work will exploit theoretical techniques that I have developed in previous research, and that allow for the possibility of jumps and disasters in financial markets. I will therefore be able to avoid the unpalatable assumption—which is made, implicitly or explicitly, in much of the finance literature—that uncertainty is driven by conditionally Normally distributed shocks (or, in continuous time, by Brownian motions). The importance of doing so is underscored by the turmoil in financial markets over the last few years.
These techniques will also be applied in the second strand of my proposal, which focuses on issues related to catastrophes more generally, including for example climate change; highly contagious viruses on the scale of the influenza pandemic of 1918; or nuclear or bio-terrorism. This project will be joint with Professor Robert S. Pindyck of MIT. The goal is to provide a framework within which policymakers, faced with multiple different types of potential catastrophe, can determine how society’s limited resources should best be used to alleviate the associated risks.
Dziedzina nauki
- social sciencespolitical sciencespolitical transitionsterrorism
- social scienceseconomics and businesseconomics
- natural sciencesphysical sciencesastronomyplanetary sciencesmeteorites
- medical and health scienceshealth sciencesinfectious diseasesRNA virusesinfluenza
- natural sciencesearth and related environmental sciencesatmospheric sciencesclimatologyclimatic changes
Program(-y)
Temat(-y)
System finansowania
ERC-STG - Starting GrantInstytucja przyjmująca
WC2A 2AE London
Zjednoczone Królestwo