Asset Insulators

• 成果类型: Article
• 署名作者: Chodorow-Reich, Gabriel; Ghent, Andra; Haddad, Valentin
• 署名单位: Harvard University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa061
• 发表日期: 2021
• 页码: 1509
• 关键词: transaction costs; insurance; valuation; LIMITS; RISK

摘要

We construct a new data set tracking the daily value of life insurers' assets at the security level. Outside of the 2008-2009 crisis, a $1 drop in the market value of assets reduces an insurer's market equity by $0.10. During the financial crisis, this pass-through rises to $1. We explain this pattern by viewing insurance companies as asset insulators, institutions with stable, long-term liabilities that can ride out transitory dislocations in market prices. Illustrating the macroeconomic importance of insulation, insurers' market equity declined by $50 billion less than the duration-adjusted value of their securities during the crisis.