The Dynamic Impact of Macro Shocks on Insurance Premiums |
| |
| Authors: | Feng Guo Hung-Gay Fung Ying Sophie Huang |
| |
| Institution: | (1) Haile/US Bank College of Business, Northern Kentucky University, Highland Heights, KY 41099, USA;(2) College of Business Administration and Center for International Studies, University of Missouri-St. Louis, One University Blvd., St. Louis, MO 63121, USA;(3) Department of Economics and Finance, Haile/US Bank College of Business, Northern Kentucky University, Highland Heights, KY 41099, USA |
| |
| Abstract: | We develop a model that investigates the relation between insurance premiums and macroeconomic variables, including oil price,
interest rate, aggregate supply, and aggregate demand. We then use a multivariate structural vector error correction model
to distinguish the effects arising from permanent and transitory components of insurance premiums. Changes in the transitory
component indicate that our model captures key historical events. Although real shocks originating from oil price and aggregate
supply explain the behavior of insurance premiums well, we show that financial market shocks are the main driving force behind
the recent increasing volatility in insurance premiums in the U.S. market.
|
| |
| Keywords: | Insurance premiums Structural shocks Vector error correction model |
| 本文献已被 SpringerLink 等数据库收录！ |
|
