IDEAS home Printed from https://ideas.repec.org/a/bla/jrinsu/v81y2014i3p623-652.html
   My bibliography  Save this article

Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis

Author

Listed:
  • Hua Chen
  • J. David Cummins
  • Krupa S. Viswanathan
  • Mary A. Weiss

Abstract

type="main" xml:lang="en"> This article uses daily market value data on credit default swap spreads and intraday stock prices to measure systemic risk in the insurance sector. Using the systemic risk measure, we examine the interconnectedness between banks and insurers with Granger causality tests. Based on linear and nonlinear causality tests, we find evidence of significant bidirectional causality between insurers and banks. However, after correcting for conditional heteroskedasticity, the impact of banks on insurers is stronger and of longer duration than the impact of insurers on banks. Stress tests confirm that banks create significant systemic risk for insurers but not vice versa.

Suggested Citation

  • Hua Chen & J. David Cummins & Krupa S. Viswanathan & Mary A. Weiss, 2014. "Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 623-652, September.
    • Handle: RePEc:bla:jrinsu:v:81:y:2014:i:3:p:623-652
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jrinsu:v:81:y:2014:i:3:p:623-652. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/ariaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.