Climate risk in mortgage markets: Evidence from Hurricanes Harvey and Irma
利用房利美和房地美的信用风险转移数据，研究无政府干预时抵押贷款市场如何定价飓风风险，发现市场隐含的担保费在飓风高风险县比内陆县高70%。
Abstract 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.