Systemic risk and the interconnectedness between banks and insurers : an econometric analysis
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| 001 | MAP20140031900 | ||
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| 005 | 20140918165450.0 | ||
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| 245 | 0 | 0 | $aSystemic risk and the interconnectedness between banks and insurers$b: an econometric analysis$cHua Chen...[et.al] |
| 520 | $aThis 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. | ||
| 650 | 4 | $0MAPA20080586294$aMercado de seguros | |
| 650 | 4 | $0MAPA20080538217$aBanca | |
| 650 | 4 | $0MAPA20080557935$aEconometría | |
| 650 | 4 | $0MAPA20080588953$aAnálisis de riesgos | |
| 650 | 4 | $0MAPA20100016923$aRiesgo sistémico | |
| 650 | 4 | $0MAPA20080623920$aAnálisis económico-financiero | |
| 650 | 4 | $0MAPA20080592059$aModelos predictivos | |
| 700 | $0MAPA20090011274$aChen, Hua | ||
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/09/2014 Volumen 81 Número 3 - septiembre 2014 , p. 623-652 | |
| 856 | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |