Centro de Documentación de Fundación MAPFRE - Systemic risk and the interconnectedness between banks and insurers : an econometric analysis

Notas: Sumario: 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.Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/09/2014 Volumen 81 Número 3 - septiembre 2014 , p. 623-652Materia / lugar / evento: Mercado de seguros Banca Econometría Análisis de riesgos Riesgo sistémico Análisis económico-financiero Modelos predictivos Otros autores: Chen, Hua
Otras clasificaciones: 7

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