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Systemic risk and the interconnectedness between banks and insurers : an econometric analysis

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      <subfield code="a">Systemic risk and the interconnectedness between banks and insurers</subfield>
      <subfield code="b">: an econometric analysis</subfield>
      <subfield code="c">Hua Chen...[et.al]</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Análisis de riesgos</subfield>
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      <subfield code="a">Riesgo sistémico</subfield>
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      <subfield code="a">Análisis económico-financiero</subfield>
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      <subfield code="a">Chen, Hua</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/09/2014 Volumen 81 Número 3 - septiembre 2014 , p. 623-652</subfield>
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