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Replication data for: Economic Catastrophe Bonds

Version
V0
Resource Type
Dataset
Creator
  • Coval, Joshua D.
  • Jurek, Jakub W.
  • Stafford, Erik
Publication Date
2009-06-01
Description
  • Abstract

    The central insight of asset pricing is that a security's value depends both on its distribution of payoffs across economic states and on state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default occurs. Such investors are likely to be attracted to securities whose payoffs resemble economic catastrophe bonds—bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. (JEL G11, G12)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.99.3.628 (Text)
Publications
  • Coval, Joshua D, Jakub W Jurek, and Erik Stafford. “Economic Catastrophe Bonds.” American Economic Review 99, no. 3 (May 2009): 628–66. https://doi.org/10.1257/aer.99.3.628.
    • ID: 10.1257/aer.99.3.628 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Coval, Joshua D.; Jurek, Jakub W.; Stafford, Erik (2009): Replication data for: Economic Catastrophe Bonds. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E113301