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The Dynamic Impact of Macro Shocks on Insurance Premiums

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  • Feng Guo

    ()

  • Hung-Gay Fung

    ()

  • Ying Huang

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10693-009-0052-0
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 35 (2009)
    Issue (Month): 3 (June)
    Pages: 225-244

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    Handle: RePEc:kap:jfsres:v:35:y:2009:i:3:p:225-244

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    Web page: http://www.springerlink.com/link.asp?id=102934

    Related research

    Keywords: Insurance premiums; Structural shocks; Vector error correction model; C32; E44; G22;

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    References

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    1. Doherty, Neil A. & Kang, Han Bin, 1988. "Interest rates and insurance price cycles," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 199-214, June.
    2. Grace, Martin & Hotchkiss, Julie L., 1995. "External impacts on the property-liability insurance cycle," MPRA Paper 9825, University Library of Munich, Germany.
    3. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
    4. Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
    5. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    6. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Working Papers 2589, National Bureau of Economic Research, Inc.
    7. Ben S. Bernanke & Mark Gertler & Mark Watson, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
    8. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
    9. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    10. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June.
    11. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
    12. Haugen, Robert A. & Kroncke, Charles O., 1971. "Rate Regulation and the Cost of Capital in the Insurance Industry," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(05), pages 1283-1305, December.
    13. Luis Aguiar-Conraria & Yi Wen, 2006. "Understanding the large negative impact of oil shocks," Working Papers 2005-042, Federal Reserve Bank of St. Louis.
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    Cited by:
    1. Guo, Feng & Huang, Ying Sophie, 2013. "Identifying permanent and transitory risks in the Chinese property insurance market," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 689-704.
    2. J. François Outreville, 2011. "The relationship between insurance growth and economic development - 80 empirical papers for a review of the literature," ICER Working Papers 12-2011, ICER - International Centre for Economic Research.
    3. Catherine Bruneau & Nadia Sghaier, 2014. "Cyclicity in the French PropertyLiability Insurance Industry - New Findings over the Recent Period," Working Papers 2014-047, Department of Research, Ipag Business School.

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