We use survey data to document a strong heterogeneity in stated degrees of worry about environmental problems across racial groups. Minorities are significantly more worried about air and water pollution than their white counterparts, even after controlling for socioeconomic factors and pollution exposure. Our finding implies that residential sorting based on heterogeneous financial resources and heterogeneous levels of environmental concern is unlikely to be the only driver of uneven exposure to pollution across racial groups.
{"title":"Race and Environmental Worries","authors":"Ranie Lin, Lala Ma, T. Phan","doi":"10.2139/ssrn.3918520","DOIUrl":"https://doi.org/10.2139/ssrn.3918520","url":null,"abstract":"We use survey data to document a strong heterogeneity in stated degrees of worry about environmental problems across racial groups. Minorities are significantly more worried about air and water pollution than their white counterparts, even after controlling for socioeconomic factors and pollution exposure. Our finding implies that residential sorting based on heterogeneous financial resources and heterogeneous levels of environmental concern is unlikely to be the only driver of uneven exposure to pollution across racial groups.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126659388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Overwhelming evidence suggests that a “culture of cooperation,” which is the implicit reward from cooperating in any economic activity, represents one of the most successful humanly devised social structures. Yet, our understanding of its determinants and impact is still limited. To clarify these issues, we propose a time inconsistency theory of state-building and we document that, in the world's most agricultural countries, adverse climate shocks push the nonelites to accumulate strong norms of cooperation. To illustrate, a strong culture signals the nonelites’ commitment to cooperate with the elites in joint investment activities despite the small expected payoff and encourages the elites to reciprocate by granting a more inclusive political process. These reforms, in turn, help convince the nonelites that a sufficient part of the investment returns will be shared via public good provision. Our estimates imply that the severity of droughts has two short run effects on agricultural output, a negative impact due to worse farming conditions and a positive effect due to stronger norms of trust and respect. Accordingly, policymakers should consider the direct and indirect impacts of climate change and favor endogenous cultural formation. Moreover, environmental policies should be designed through a more credible interdisciplinary approach.
{"title":"Climate Change and (a Culture of) Cooperation in the World's Most Agricultural Countries.","authors":"Giacomo Benati, C. Guerriero","doi":"10.2139/ssrn.3912442","DOIUrl":"https://doi.org/10.2139/ssrn.3912442","url":null,"abstract":"Overwhelming evidence suggests that a “culture of cooperation,” which is the implicit reward from cooperating in any economic activity, represents one of the most successful humanly devised social structures. Yet, our understanding of its determinants and impact is still limited. To clarify these issues, we propose a time inconsistency theory of state-building and we document that, in the world's most agricultural countries, adverse climate shocks push the nonelites to accumulate strong norms of cooperation. To illustrate, a strong culture signals the nonelites’ commitment to cooperate with the elites in joint investment activities despite the small expected payoff and encourages the elites to reciprocate by granting a more inclusive political process. These reforms, in turn, help convince the nonelites that a sufficient part of the investment returns will be shared via public good provision. Our estimates imply that the severity of droughts has two short run effects on agricultural output, a negative impact due to worse farming conditions and a positive effect due to stronger norms of trust and respect. Accordingly, policymakers should consider the direct and indirect impacts of climate change and favor endogenous cultural formation. Moreover, environmental policies should be designed through a more credible interdisciplinary approach.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133139777","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Paula Walk, Isabell Braunger, Josephine Semb, Carolin Brodtmann, P. oei, C. Kemfert
For climate change mitigation, a rapid phase-out of fossil fuels such as coal is necessary. This has far-reaching gender-specific consequences. This paper presents a systematic map of the literature that examines the impact of historical coal phase-out processes on women and their role in these processes. The search process consisted of screening over 3100 abstracts and reading 247 full-text studies. The analysis of the 73 publications ultimately included in the systematic map shows that past coal phase-outs meant both opportunities (e.g., increased labour market participation) as well as burdens for women (e.g., double burden of job and household). It becomes clear that agency within coal transitions was also gendered. For example, it was difficult for women to gain access to union structures, which led them to organise themselves into grassroots movements. Our research shows that policies aiming for a just sustainability transition should always be explicitly gender-responsive. However, the impact of sustainability transitions on women’s lives remains largely under-researched. Therefore, we propose a research agenda based on our findings containing six key issues that need to be addressed scientifically.
{"title":"Strengthening Gender Justice in a Just Transition: A Research Agenda Based on a Systematic Map of Gender in Coal Transitions","authors":"Paula Walk, Isabell Braunger, Josephine Semb, Carolin Brodtmann, P. oei, C. Kemfert","doi":"10.2139/ssrn.3905835","DOIUrl":"https://doi.org/10.2139/ssrn.3905835","url":null,"abstract":"For climate change mitigation, a rapid phase-out of fossil fuels such as coal is necessary. This has far-reaching gender-specific consequences. This paper presents a systematic map of the literature that examines the impact of historical coal phase-out processes on women and their role in these processes. The search process consisted of screening over 3100 abstracts and reading 247 full-text studies. The analysis of the 73 publications ultimately included in the systematic map shows that past coal phase-outs meant both opportunities (e.g., increased labour market participation) as well as burdens for women (e.g., double burden of job and household). It becomes clear that agency within coal transitions was also gendered. For example, it was difficult for women to gain access to union structures, which led them to organise themselves into grassroots movements. Our research shows that policies aiming for a just sustainability transition should always be explicitly gender-responsive. However, the impact of sustainability transitions on women’s lives remains largely under-researched. Therefore, we propose a research agenda based on our findings containing six key issues that need to be addressed scientifically.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126806495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Liang Lu, R. Nguyen, Md Mamunur Rahman, Jason A. Winfree
The food supply chain has experienced major disruptions from both demand and supply sides during the Covid-19 pandemic. While some consequences such as food waste are directly caused by the disruption due to supply chain inefficiency, others are indirectly caused by a change in consumer’s preferences. As a result, evaluating food supply chain resilience is a difficult task. With an attempt to understand impacts of demand on the food supply chain, we developed an agent-based model based on the case of Idaho’s potato supply chain. Results showed that not only the magnitude but also the timing of the demand shock will have different impacts on various stakeholders of the supply chain. Our contribution to the literature is two-fold. First, the model helps explain why food waste and shortages may occur with dramatic shifts in consumer demand. Second, this paper provides a new angle on evaluating the various mitigation strategies and policy responses to disruptions beyond Covid-19.
{"title":"Demand Shocks and Supply Chain Resilience: An Agent Based Modelling Approach and Application to the Potato Supply Chain","authors":"Liang Lu, R. Nguyen, Md Mamunur Rahman, Jason A. Winfree","doi":"10.3386/w29166","DOIUrl":"https://doi.org/10.3386/w29166","url":null,"abstract":"The food supply chain has experienced major disruptions from both demand and supply sides during the Covid-19 pandemic. While some consequences such as food waste are directly caused by the disruption due to supply chain inefficiency, others are indirectly caused by a change in consumer’s preferences. As a result, evaluating food supply chain resilience is a difficult task. With an attempt to understand impacts of demand on the food supply chain, we developed an agent-based model based on the case of Idaho’s potato supply chain. Results showed that not only the magnitude but also the timing of the demand shock will have different impacts on various stakeholders of the supply chain. Our contribution to the literature is two-fold. First, the model helps explain why food waste and shortages may occur with dramatic shifts in consumer demand. Second, this paper provides a new angle on evaluating the various mitigation strategies and policy responses to disruptions beyond Covid-19.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131855996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate the economic effects of three types of oil price shocks on the U.S. economy using a factor augmented vector autoregression framework and 185 monthly macroeconomic indicators from 1978 to 2017. We find that oil specific precautionary demand shocks are the main drivers of fluctuations in the price of crude oil and the U.S. price level, followed by global economic activity oil demand shocks. Further, while increases in the price of oil triggered by oil supply shocks are recessionary and lower U.S. economic activity, those triggered by global economic activity oil demand shocks are associated with increased U.S. economic activity. We also find evidence that monetary policy-makers tighten monetary policy in response to oil demand shocks to mitigate inflationary effects, however we find no such evidence for oil supply shocks. Finally, we find the U.S. dollar real exchange rate depreciates in response to increases in the price of oil caused by both oil demand and supply shocks, however the effects from oil supply shocks are more permanent.
{"title":"Oil Shocks and the U.S. Economy in a Data-rich Model","authors":"Kuhelika De, Ryan A. Compton, Daniel C. Giedeman","doi":"10.2139/ssrn.3658783","DOIUrl":"https://doi.org/10.2139/ssrn.3658783","url":null,"abstract":"We investigate the economic effects of three types of oil price shocks on the U.S. economy using a factor augmented vector autoregression framework and 185 monthly macroeconomic indicators from 1978 to 2017. We find that oil specific precautionary demand shocks are the main drivers of fluctuations in the price of crude oil and the U.S. price level, followed by global economic activity oil demand shocks. Further, while increases in the price of oil triggered by oil supply shocks are recessionary and lower U.S. economic activity, those triggered by global economic activity oil demand shocks are associated with increased U.S. economic activity. We also find evidence that monetary policy-makers tighten monetary policy in response to oil demand shocks to mitigate inflationary effects, however we find no such evidence for oil supply shocks. Finally, we find the U.S. dollar real exchange rate depreciates in response to increases in the price of oil caused by both oil demand and supply shocks, however the effects from oil supply shocks are more permanent.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129089634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract Does news tone help forecast oil? In this paper, we study the relationship between news tone and crude oil prices and evaluate the role news tone plays in the ability to forecast oil prices. Specifically, we use a recently developed oil-specific dictionary as well as a widely used general financial dictionary, to directly measure the sentiment of 3579 oil news articles from Financial Times for actual oil price forecasting. We find compelling evidence that news tone constructed by the oil dictionary helps forecast monthly oil prices out-of-sample over short horizons, while the news tone constructed by financial dictionary shows no out-of-sample forecasting power at all. We verify and document the economic significance of the best performing forecasting model against the others and a naive buy-hold strategy. We argue that the forecasting power of news tone is data and method dependent, and we underscore the correct use of domain-specific dictionaries in financial sentiment analysis.
{"title":"Does News Tone help forecast Oil?","authors":"B. Lucey, Boru Ren","doi":"10.2139/ssrn.3835768","DOIUrl":"https://doi.org/10.2139/ssrn.3835768","url":null,"abstract":"Abstract Does news tone help forecast oil? In this paper, we study the relationship between news tone and crude oil prices and evaluate the role news tone plays in the ability to forecast oil prices. Specifically, we use a recently developed oil-specific dictionary as well as a widely used general financial dictionary, to directly measure the sentiment of 3579 oil news articles from Financial Times for actual oil price forecasting. We find compelling evidence that news tone constructed by the oil dictionary helps forecast monthly oil prices out-of-sample over short horizons, while the news tone constructed by financial dictionary shows no out-of-sample forecasting power at all. We verify and document the economic significance of the best performing forecasting model against the others and a naive buy-hold strategy. We argue that the forecasting power of news tone is data and method dependent, and we underscore the correct use of domain-specific dictionaries in financial sentiment analysis.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"266 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121895598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
June Vana, D. Vargas, C. Vallejo, P. Rafael, P. Hail
In general, the study aimed to determine the infrastructure development projects and access to services of farm families. This study used a descriptive-quantitative correlation design. A total of 3 key informants and 90 farm families head composed of the respondents. A survey questionnaire was prepared as an instrument in gathering the required information. The mean of 51.69 years old signifies that most of the respondents' ages were at the prime working age. A majority (95.70%) of the households were headed by male farmers and have no other source of income other than farming. Concrete roads were constructed as early as 2013 and 2018 in the area of study. The frequency and time of travel of the respondents after the construction of the roads going to the market and other places were lessened/reduce. There was an increase in the frequency of respondents’ access to health services. From “sometimes”, to more often than before. Even after the construction of the infrastructure specifically classroom, school attendance and level of enrolment have no significant changes at all. After the development of the infrastructure, it can be seen that the frequency of their access to support services changes from 'seldom' to 'sometimes.' There was no difference in terms of the use of technology before and after the development of the infrastructure. It can be seen that there were no differences before and after in their frequency of access in all services in financial and market institutions.
{"title":"Infrastructure Development Projects and Access to Services of Farm Families","authors":"June Vana, D. Vargas, C. Vallejo, P. Rafael, P. Hail","doi":"10.2139/ssrn.3828883","DOIUrl":"https://doi.org/10.2139/ssrn.3828883","url":null,"abstract":"In general, the study aimed to determine the infrastructure development projects and access to services of farm families. This study used a descriptive-quantitative correlation design. A total of 3 key informants and 90 farm families head composed of the respondents. A survey questionnaire was prepared as an instrument in gathering the required information. The mean of 51.69 years old signifies that most of the respondents' ages were at the prime working age. A majority (95.70%) of the households were headed by male farmers and have no other source of income other than farming. Concrete roads were constructed as early as 2013 and 2018 in the area of study. The frequency and time of travel of the respondents after the construction of the roads going to the market and other places were lessened/reduce. There was an increase in the frequency of respondents’ access to health services. From “sometimes”, to more often than before. Even after the construction of the infrastructure specifically classroom, school attendance and level of enrolment have no significant changes at all. After the development of the infrastructure, it can be seen that the frequency of their access to support services changes from 'seldom' to 'sometimes.' There was no difference in terms of the use of technology before and after the development of the infrastructure. It can be seen that there were no differences before and after in their frequency of access in all services in financial and market institutions.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115521899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
T. Mieno, Mani Rouhi Rad, Jordan F. Suter, R. Hrozencik
The implementation of effective resource management policies critically depends on accurate estimates of the price elasticity of resource demand. In the case of groundwater, previous research estimating well-level groundwater demand has largely ignored the importance of well yield, which is a physical limit on the rate of groundwater extraction. In this research, we empirically estimate the price elasticity of demand for groundwater using well-level data from Colorado. Our results demonstrate that when well yield is omitted, price elasticity is overestimated. This in turn creates inaccurate predictions of the effect of price-based conservation policies on groundwater use and welfare impacts.
{"title":"The Importance of Well Yield in Groundwater Demand Specification","authors":"T. Mieno, Mani Rouhi Rad, Jordan F. Suter, R. Hrozencik","doi":"10.2139/ssrn.3825888","DOIUrl":"https://doi.org/10.2139/ssrn.3825888","url":null,"abstract":"The implementation of effective resource management policies critically depends on accurate estimates of the price elasticity of resource demand. In the case of groundwater, previous research estimating well-level groundwater demand has largely ignored the importance of well yield, which is a physical limit on the rate of groundwater extraction. In this research, we empirically estimate the price elasticity of demand for groundwater using well-level data from Colorado. Our results demonstrate that when well yield is omitted, price elasticity is overestimated. This in turn creates inaccurate predictions of the effect of price-based conservation policies on groundwater use and welfare impacts.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127890410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Baturay Çalci, B. Leibowicz, J. Bard, Gopika G. Jayadev
Abstract Market equilibrium models are often specified and solved as mixed complementarity problems (MCPs). These formulations combine the Karush–Kuhn–Tucker (KKT) optimality conditions of the optimization problems faced by multiple strategic players with market-clearing conditions, such that the solution to this system provides the Nash equilibrium prices and quantities. MCPs are widely applied to energy markets including those for electricity, oil, and natural gas. While researchers have made substantial progress on expanding the model features included in MCPs and on solving these problems, a limitation of existing MCPs is that they treat costs as exogenous input parameters. Therefore, MCPs have not been able to capture learning-by-doing (LBD), the empirically observed phenomenon whereby production costs tend to decline as a function of cumulative production experience. In this paper, we demonstrate the incorporation of LBD into a mixed complementarity equilibrium model. We consider two closely related, but nevertheless distinct, LBD formulations: one with discrete changes in cost from period to period, and another where cost declines continuously. Through theoretical analysis and numerical exploration, we establish the conditions under which these LBD formulations lead to convex optimization problems. Confirming convexity is important because it guarantees that their KKT conditions are sufficient for optimality. Then, we demonstrate the practical application of a mixed complementarity equilibrium model with LBD using the North American natural gas market as an example. When LBD is incorporated into the cost of liquefaction, North America exports more liquefied natural gas, which raises prices and reduces domestic consumption.
{"title":"Incorporating Learning-by-Doing into Mixed Complementarity Equilibrium Models","authors":"Baturay Çalci, B. Leibowicz, J. Bard, Gopika G. Jayadev","doi":"10.2139/ssrn.3801193","DOIUrl":"https://doi.org/10.2139/ssrn.3801193","url":null,"abstract":"Abstract Market equilibrium models are often specified and solved as mixed complementarity problems (MCPs). These formulations combine the Karush–Kuhn–Tucker (KKT) optimality conditions of the optimization problems faced by multiple strategic players with market-clearing conditions, such that the solution to this system provides the Nash equilibrium prices and quantities. MCPs are widely applied to energy markets including those for electricity, oil, and natural gas. While researchers have made substantial progress on expanding the model features included in MCPs and on solving these problems, a limitation of existing MCPs is that they treat costs as exogenous input parameters. Therefore, MCPs have not been able to capture learning-by-doing (LBD), the empirically observed phenomenon whereby production costs tend to decline as a function of cumulative production experience. In this paper, we demonstrate the incorporation of LBD into a mixed complementarity equilibrium model. We consider two closely related, but nevertheless distinct, LBD formulations: one with discrete changes in cost from period to period, and another where cost declines continuously. Through theoretical analysis and numerical exploration, we establish the conditions under which these LBD formulations lead to convex optimization problems. Confirming convexity is important because it guarantees that their KKT conditions are sufficient for optimality. Then, we demonstrate the practical application of a mixed complementarity equilibrium model with LBD using the North American natural gas market as an example. When LBD is incorporated into the cost of liquefaction, North America exports more liquefied natural gas, which raises prices and reduces domestic consumption.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134325860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We hand-collect a unique database of Credit Risk Transfers (CRTs), linked to U.S. mortgages, to study how markets price default risk from natural disasters. Exploiting heterogeneous exposure of CRTs to default risk, we estimate the increases in CRT spreads due to the landfall of two major hurricanes. We calibrate a model of credit supply to match those estimates. Market-implied mortgage rates in counties more often hit by a hurricane are 13% higher than inland counties. Also, market-implied mortgage rates would have increased by 29% due to the Global Financial Crisis, and by 21% due to the covid-19 crisis.
{"title":"Pricing Mortgage Stress. Lessons from Covid-19 and the Credit Risk Transfers.","authors":"Pedro Gete, Athena Tsouderou, Susan M. Wachter","doi":"10.2139/ssrn.3613211","DOIUrl":"https://doi.org/10.2139/ssrn.3613211","url":null,"abstract":"We hand-collect a unique database of Credit Risk Transfers (CRTs), linked to U.S. mortgages, to study how markets price default risk from natural disasters. Exploiting heterogeneous exposure of CRTs to default risk, we estimate the increases in CRT spreads due to the landfall of two major hurricanes. We calibrate a model of credit supply to match those estimates. Market-implied mortgage rates in counties more often hit by a hurricane are 13% higher than inland counties. Also, market-implied mortgage rates would have increased by 29% due to the Global Financial Crisis, and by 21% due to the covid-19 crisis.","PeriodicalId":105811,"journal":{"name":"Econometric Modeling: Agriculture","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125920278","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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