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Michal Brzezinski

relative risk aversion and power-law distribution of macroeconomic disasters (replication data)

The coefficient of relative risk aversion 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 dataset.

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Brzezinski, Michal (2015): Relative Risk Aversion and Power-Law Distribution of Macroeconomic Disasters (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0717371669

Related Publication

Brzezinski, M. (2015), Relative Risk Aversion And Power-Law Distribution Of Macroeconomic Disasters, Journal of Applied Econometrics, 30(1), 170-175. https://doi.org/10.1002/jae.2402