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Interest rate exposure of European insurers

Author

Listed:
  • Francisco Jareño
  • Marta Tolentino
  • María de la O González
  • M. Ángeles Medina

Abstract

This paper focuses on analysing the sensitivity and behaviour of some of the leading insurers currently operating in the Euro area to changes in benchmark interest rates. The methodology used is the Quantile Regression (QR) approach and the period analysed covers from 2003 to 2015 around the recent global financial crisis. The empirical results show that European insurance market returns have a statistically significant sensitivity to interest rate variations and that there are important differences according to the period analysed, being the sensitivity most pronounced in extreme market conditions.

Suggested Citation

  • Francisco Jareño & Marta Tolentino & María de la O González & M. Ángeles Medina, 2020. "Interest rate exposure of European insurers," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 27(2), pages 255-268, May.
    • Handle: RePEc:taf:ijecbs:v:27:y:2020:i:2:p:255-268
    DOI: 10.1080/13571516.2019.1681789
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    Cited by:

    1. Dias, Ishanka K. & Fernando, J.M. Ruwani & Fernando, P. Narada D., 2022. "Does investor sentiment predict bitcoin return and volatility? A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 84(C).
    2. Francisco Jareño & María-Isabel Martínez-Serna & María Chicharro, 2023. "Government Bonds and COVID-19. An International Evaluation Under Different Market States," Evaluation Review, , vol. 47(3), pages 433-478, June.
    3. Anastasiadou, Constantia & Pilcher, Nick & Gutu, Mavis & Panyik, Emese, 2023. "EU tourism and student identities in a pre-BREXIT UK," Annals of Tourism Research, Elsevier, vol. 99(C).
    4. Jareño, Francisco & González, María de la O & Escolástico, Alba M., 2020. "Extension of the Fama and French model: A study of the largest European financial institutions," International Economics, Elsevier, vol. 164(C), pages 115-139.

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