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Asset Insulators

delete2020-05-22
delete25
PRE
AI
G
Gabriel Chodorow-Reich *
A
Andra C. Ghent
V
Valentin Haddad
DOI：10.1093/rfs/hhaa061delete
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Abstract

Abstract

En 中文
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.
Keywords:
TRANSACTION COSTS
INSURANCE
VALUATION
LIMITS
RISK
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Journal

Review of Financial Studies cover
Review of Financial Studies
IF:
5.4
Papers:
2.8K
Citations:
3.0W

Organization

H
Harvard University
Scholars:
26.5W
Papers: 22.0W
Citations: 28.7W
U
university of north carolina
Scholars:
7.4W
Papers: 6.5W
Citations: 93
N
National Bureau of Economic Research
Scholars:
2.0K
Papers: 2.4K
Citations: 1.1W
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