Relative risk aversion and power-law distribution of macroeconomic disasters

Michał Brzeziński

No 2013-04, Working Papers from Faculty of Economic Sciences, University of Warsaw

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.

Keywords: coefficient of relative risk aversion; power-law modelling; macroeconomic disasters; replication; robust statistics (search for similar items in EconPapers)
JEL-codes: C46 D81 E32 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm, nep-rmg and nep-upt
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Citations: View citations in EconPapers (1)

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http://www.wne.uw.edu.pl/inf/wyd/WP/WNE_WP89.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2013-04

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