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29. CUSIP identifiers from S&P Global Market Intelligence and match these to CUSIPs and stock tickers, and check matches by hand. In the sample of all (51) matched insurance groups, I flag insurers as exposed to hurricane Katrina if they are headquartered in the US and the ratio of premiums written in exposed states is in the upper quartile of the crosssectional distribution, and all other insurers as unexposed. By accounting for headquarter location, I assign two non-US insurers to the control group which would otherwise be treated (AXA and Beazley). The reason is that US premiums written are only a small fraction of the premiums written by these insurers.52 However, results are robust to including these 2 insurers in the treated group. 52 In 2005, less than 7% of AXA’s P&C gross premiums were written in the US (see Annual Report 2005).
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58. Scand. BC Dot-com Europ. Sov Debt GFC 0 5 10 15 20 25 1990 2000 2010 2020 Date Spillover Persistence Banking crises (b) Europe. Fig. 2. Illustration of ∆CoSP, Average ∆CoSP, and Spillover Persistence.
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61. Source: Brunnermeier et al. (2020). Bust Indicator for whether a country experiences a stock market bust.
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62. Source: Own calculation based on data from Brunnermeier et al. (2020). Firm characteristics (Source: Worldscope.) Size log(total assets). Leverage Total assets / market value of common equity. Continued on next Table B.1 – Continued from previous page Variable Definition Market-to-book Market value of equity / book value of equity.
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63. The figure depicts the daily average Spillover Persistence across North American and European insurers that are (a) exposed and (b) un-exposed to hurricane Katrina, respectively. Vertical lines depict the dates of hurricane Katrina’s first (August 25, 2005) and second (August 29, 2005) landfall.
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64. The table depicts summary statistics for macroeconomic characteristics based on country-year level observations from 1989 to 2017. Sources: OECD, BIS, St. Louis FRED, Thomson Reuters Datastream, Laeven and Valencia (2018), own calculations.
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65. The table depicts summary statistics for macroeconomic characteristics based on region-year observations (3-month yield change, term spread change, TED spread, credit spread change, market return, and equity volatility) from 1989 to 2017. Geographical regions are Europe, North America, Asia, Japan, and Australia. Table B.2 describes the data sources for each macroeconomic variable. Sources: St. Louis FRED, Thomson Reuters Datastream, own calculations.
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66. The table depicts summary statistics used to estimate Equation (12). Observations are at the firm-daylevel for Spillover Persistence with respect to the broker-dealer system and firm-week-level for ∆CoVaR from August 8 to September 16, 2005, for all North American and European insurers. US P&C insurers are labeled as exposed if the ratio of total premiums written in Alabama, Louisiana, and Mississippi from 2004Q3 to 2005Q2 is among the 25% largest across all US insurers. Variable descriptions and data sources are provided in Table B.1. N Mean Median SD p5 p95 69 insurers (8 exposed) Spillover Persistence (τ̄, in days) 2,093 4.88 4.52 3.80 0.00 11.54 ∆CoVaR (in ppt) 521 2.38 2.44 1.19 0.43 4.33 Table 12: Effect of hurricane Katrina on Spillover Persistence.
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67. Vertical dashed lines mark the onset of the Scandinavian banking crisis (1990), Mexican peso crisis (1994), burst of the dot-com bubble (2001), global financial crises (2007), and European sovereign debt crisis (2010).
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49. Credit Traps. (2010). Benmelech, Efraim ; Bergman, Nittai K..
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