We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

pre-disaster trend, and do not recover within twenty years. Both rich and poor countries exhibit this response, with … suppression of annual growth rates spread across the fifteen years following disaster, generating large and significant cumulative … continuous exposure to disaster. Linking these results to projections of future cyclone activity, we estimate that under …