Examining comovement and causality between producer price index for P&C insurance premium and uncertainty indices: Wavelet and non-parametric quantile causality approach |
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| Institution: | 1. Paris School of Economics and CNRS, Mail: 48 Boulevard Jourdan, Paris 75014, France;2. Economix, Université Paris Nanterre, Mail: Bâtiment G - Maurice Allais, 200 Avenue de la République, Nanterre 92001-CEDEX, France;2. Assistant Professor in Economics, Ashoka University K-32,NDSE Part 2, New Delhi 110049, India;1. Department of Economics and Management, Thomas Sankara University, 12 PO Box 417 Ouagadougou 12, Burkina Faso;2. Department of Economic Policies and Internal Taxation, West African Economic and Monetary Union Commission, 01 PO Box 543 Ouagadougou 01, Burkina Faso;2. Department of Economics, Morgan State University, Baltimore, 10587, MD, USA;3. Lewis Honors College, University of Kentucky, 1120 University Dr., Lexington, 40526, Kentucky, USA |
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| Abstract: | This study examines the impact of the news-based climate policy uncertainty index (CPU) on PPI-P&C. To understand the impact of different types of uncertainty on P&C insurance premiums, the study also examines the relation of economic policy uncertainty (EPU), and geopolitical risk uncertainty (GPU) with PPI-P&C index. The time-frequency relation between the indices is examined using wavelet coherence analysis (WCA), whereas the casual dependency is examined using the non-parametric causality in quantiles (CIQ) approach and linear and non-linear Granger causality tests. WCA shows significant co-movement phases between CPU and PPI-P&C across time-frequency domain with CPU leading the PPI-P&C over a specific time interval. Results from CIQ give evidence of uncertainty indices having an asymmetric significant dependency relation with the PPI-P&C index. The results have implications for examining the impact of rising uncertainties on rising insurance costs for P&C insurance providers. |
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