Moments (annual).

Traditional disaster models with time-varying disaster risk are not perfect in explaining asset returns. We redefine rare economic disasters and develop a novel disaster model with long-run disaster risk to match the asset return moments observed in the U.S. data. The difference from traditional disaster models is that our model contains the long-run disaster risk by treating the long-run ingredient of consumption growth as a function of time-varying disaster probability. Our model matches the U.S. data better than the traditional disaster model with time-varying disaster risk. This study uncovers an additional channel through which disaster risk affects asset returns and bridges the gap between long-run risk models and rare disaster models.含时变灾难风险的传统灾难模型在解释资产收益时存在一定局限。本文重新定义了罕见经济灾难，并构建了纳入长期灾难风险的新型灾难模型，以匹配美国数据中观测到的资产收益矩特征。与传统灾难模型的差异在于，本文模型将消费增长的长期成分设定为时变灾难概率的函数，从而纳入了长期灾难风险。相较于传统的含时变灾难风险的灾难模型，本文模型对美国数据的拟合效果更优。本研究揭示了灾难风险影响资产收益的额外传导渠道，同时弥合了长期风险模型与罕见灾难模型之间的理论差距。