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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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Suggested Citation

  • Feng Guo & Hung-Gay Fung & Ying Huang, 2009. "The Dynamic Impact of Macro Shocks on Insurance Premiums," Journal of Financial Services Research, Springer;Western Finance Association, vol. 35(3), pages 225-244, June.
    • Handle: RePEc:kap:jfsres:v:35:y:2009:i:3:p:225-244
    DOI: 10.1007/s10693-009-0052-0
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    References listed on IDEAS

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    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    3. 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.
    4. 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(5), pages 1283-1305, December.
    5. Grace, M. F. & J. L. Hotchkiss, 1993. "External Impacts on the Property-Liability Insurance Cycle," Working Papers 020, Risk and Insurance Archive, revised Feb 1995.
    6. Clarida, Richard & Gali, Jordi, 1994. "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 1-56, December.
    7. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156, National Bureau of Economic Research, Inc.
    8. Cummins, J David, 1988. " Risk-Based Premiums for Insurance Guaranty Funds," Journal of Finance, American Finance Association, vol. 43(4), pages 823-839, September.
    9. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    10. Hooker, Mark A, 2002. "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 540-561, May.
    11. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    12. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
    13. Jones, Charles M & Kaul, Gautam, 1996. "Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-491, June.
    14. 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.
    15. Luõs Aguiar-Conraria & Yi Wen, 2007. "Understanding the Large Negative Impact of Oil Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 925-944, June.
    16. Ursina B. Meier & J. François Outreville, 2006. "Business cycles in insurance and reinsurance: the case of France, Germany and Switzerland," Journal of Risk Finance, Emerald Group Publishing, vol. 7(2), pages 160-176, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Hongyun Han & Ye Jiang, 2019. "Systemic Risks of Climate Events and Households’ Participation in Mariculture Mutual Insurance: A Case Study of Shrimp Producers in Zhejiang Province," Sustainability, MDPI, vol. 11(4), pages 1-24, February.
    2. Ali Shaddady, 2022. "Business environment, political risk, governance, Shariah compliance and efficiency in insurance companies in the MENA region," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(4), pages 861-904, October.
    3. 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.
    4. repec:ipg:wpaper:2014-047 is not listed on IDEAS
    5. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
    6. 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.
    7. Tetin, Ilya, 2015. "Underwriting cycle in Russia and macroeconomic indicators," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 65-83.
    8. Koen van der Veer, 2015. "Loss shocks and the quantity and price of private export credit insurance: Evidence from a global insurer," DNB Working Papers 462, Netherlands Central Bank, Research Department.
    9. Rangan Gupta & Amine Lahiani & Chi-Chuan Lee & Chien-Chiang Lee, 2019. "Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty," Empirical Economics, Springer, vol. 57(6), pages 1959-1978, December.
    10. J. François Outreville, 2013. "The Relationship Between Insurance and Economic Development: 85 Empirical Papers for a Review of the Literature," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(1), pages 71-122, March.
    11. Catherine Bruneau & Nadia Sghaier, 2014. "Cyclicity in the French Property," Working Papers 2014-47, Department of Research, Ipag Business School.
    12. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
    13. Hemrit, Wael & Nakhli, Mohamed Sahbi, 2021. "Insurance and geopolitical risk: Fresh empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 320-334.

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    More about this item

    Keywords

    Insurance premiums; Structural shocks; Vector error correction model; C32; E44; G22;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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