Catastrophic Risk and Credit Markets

• 成果类型: Article
• 署名作者: Garmaise, Mark J.; Moskowitz, Tobias J.
• 署名单位: University of California System; University of California Los Angeles; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01446.x
• 发表日期: 2009
• 页码: 657-707
• 关键词: insurance; real; INFORMATION; allocation; industry; mergers

摘要

We provide a model of the effects of catastrophic risk on real estate financing and prices and demonstrate that insurance market imperfections can restrict the supply of credit for catastrophe-susceptible properties. Using unique micro-level data, we find that earthquake risk decreased commercial real estate bank loan provision by 22% in California properties in the 1990s, with more severe effects in African-American neighborhoods. We show that the 1994 Northridge earthquake had only a short-term disruptive effect. Our basic findings are confirmed for hurricane risk, and our model and empirical work have implications for terrorism and political perils.