Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 8, 2022 erstellt
Beschreibung:
Using a new financial product (Credit Risk Transfers, CRTs) we study how markets would price hurricane risk in U.S. mortgages absent intervention from the government-sponsored enterprises (GSEs). We hand-collect a novel and detailed database to exploit CRTs' heterogeneous exposure to Hurricanes Harvey and Irma. Parallel trends identifying assumptions hold perfectly. A diff-in-diff analysis shows that private investors react to hurricane risk. We derive the market price of mortgage credit risk (the g-fees) for U.S. counties. Market based g-fees would be 10% higher for counties most exposed to hurricanes and 35% lower in inland counties