抵押贷款市场的气候风险：哈维和艾尔玛飓风的证据

IF 2 3区经济学 Q2 BUSINESS, FINANCE

Real Estate Economics Pub Date : 2024-02-27 DOI:10.1111/1540-6229.12477

Pedro Gete, Athena Tsouderou, Susan M. Wachter

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引用次数: 0

摘要

我们利用房利美（Fannie Mae）和房地美（Freddie Mac）发行的信用风险转让（CRTs），研究了在没有政府干预的情况下，抵押贷款市场将如何为飓风风险定价。目前，即使飓风风险是因地而异的，各地的飓风风险定价也是相同的。我们手工收集了一个新颖而详细的数据库，以利用 CRTs 在飓风哈维和艾尔玛面前的异质性风险。我们采用差中差规格，估算私人投资者对飓风风险的反应。我们利用之前的结果来校准抵押贷款模型。我们模拟美国各县的飓风频率和抵押贷款违约概率，得出抵押贷款信贷风险的市场价格，即隐含担保费（g-fees）。受飓风影响最大的县的市场隐含担保费将比内陆县高 70%。

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Climate risk in mortgage markets: Evidence from Hurricanes Harvey and Irma

Using the Credit Risk Transfers (CRTs) issued by Fannie Mae and Freddie Mac, we study how, absent government intervention, mortgage markets would price hurricane risk. Currently, such risk is priced equally across locations even if it is location-specific. We hand collect a novel and detailed database to exploit CRTs' heterogeneous exposure to Hurricanes Harvey and Irma. Using a diff-in-diff specification, we estimate the reaction of private investors to hurricane risk. We use the previous results to calibrate a model of mortgage lending. We simulate hurricane frequencies and mortgage default probabilities in each US county to derive the market price of mortgage credit risk, that is, the implied guarantee fees (g-fees). Market-implied g-fees in counties most exposed to hurricanes would be 70% higher than inland counties.

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来源期刊

Real Estate Economics Multiple-

CiteScore

4.00

自引率

13.60%

发文量

期刊介绍： As the official journal of the American Real Estate and Urban Economics Association, Real Estate Economics is the premier journal on real estate topics. Since 1973, Real Estate Economics has been facilitating communication among academic researchers and industry professionals and improving the analysis of real estate decisions. Articles span a wide range of issues, from tax rules to brokers" commissions to corporate real estate including housing and urban economics, and the financial economics of real estate development and investment.