Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis

Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis

0.00 Avg rating0 Votes
Article ID: iaor201522204
Volume: 81
Issue: 3
Start Page Number: 623
End Page Number: 652
Publication Date: Sep 2014
Journal: Journal of Risk and Insurance
Authors: , , ,
Keywords: risk
Abstract:

This article uses daily market value data on credit default swap spreads and intraday stock prices to measure systemic risk in the insurance sector. Using the systemic risk measure, we examine the interconnectedness between banks and insurers with Granger causality tests. Based on linear and nonlinear causality tests, we find evidence of significant bidirectional causality between insurers and banks. However, after correcting for conditional heteroskedasticity, the impact of banks on insurers is stronger and of longer duration than the impact of insurers on banks. Stress tests confirm that banks create significant systemic risk for insurers but not vice versa.

Reviews

Required fields are marked *. Your email address will not be published.