Interest rate exposure of European insurers

IF 1.9 Q3 BUSINESS International Journal of the Economics of Business Pub Date : 2020-05-03 DOI:10.1080/13571516.2019.1681789

Francisco Jareño, Marta Tolentino, M. González, M. Á. Medina

引用次数: 7

Abstract

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.

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欧洲保险公司的利率风险敞口

摘要本文重点分析了目前在欧元区经营的一些主要保险公司对基准利率变化的敏感性和行为。使用的方法是分位数回归(QR)方法，分析的时期涵盖2003年至2015年，当时正值最近的全球金融危机。实证结果表明，欧洲保险市场收益对利率变化具有统计学上显著的敏感性，并且根据所分析的时期存在重要差异，在极端市场条件下的敏感性最为明显。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of the Economics of Business BUSINESS-

CiteScore

2.60

自引率

8.30%

发文量

期刊介绍： International Journal of the Economics of Business presents original, peer reviewed research in economics that is clearly applicable to business or related public policy problems or issues. The term "business" is used in its widest sense to encompass both public and private sector—governmental, private non-profit and cooperative organizations, as well as profit-seeking enterprises. International Journal of the Economics of Business carries papers relating to three main spheres: The organization—to analyse and aid decision making and the internal organization of the business; The industry—to analyse how businesses interact and evolve within and across industries.

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