We study the time variation of the market price of catastrophe (CAT) bonds for the period 1999–2016. While we find an overall decreasing trend in the price of expected loss risk, large catastrophes increase this price by 34% on average. Our empirical tests show that the latter effect is temporary and unlikely to be the byproduct of behavioural changes in investors’ perceptions about catastrophic risk, as previously argued. Instead, we find evidence that changes in the price of expected loss risk may be explained by changes in investor effective risk aversion, initiated by catastrophic events triggering CAT bond losses that could bring investors closer to their habit consumption levels and lead to a hard reinsurance market environment. Contagion effects from reinsurance markets are more relevant after main catastrophes given the levels of liquidity in the markets. Furthermore, contagion effects from financial markets are minor and only relevant during the subprime financial crisis, as documented in previous studies.

我们研究了1999–2016年间巨灾（CAT）债券市场价格的时间变化。虽然我们发现预期损失风险的价格总体呈下降趋势，但巨灾平均会使该价格上涨34％。我们的经验检验表明，后者的影响是暂时的，不可能像先前所论证的那样，是投资者对灾难性风险的看法发生行为改变的副产品。相反，我们发现有证据表明预期损失风险价格的变化可以用投资者有效变动来解释。由灾难性事件引发的风险规避引发了CAT债券的损失，这可能使投资者更接近其习惯消费水平并导致艰难的再保险市场环境。考虑到市场的流动性水平，在发生重大灾难之后，再保险市场的传染效应更为相关。此外，如先前研究所证明的那样，来自金融市场的传染效应很小，并且仅在次贷金融危机期间相关。