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The dynamic linkage between insurance and banking activities: An analysis on insurance sector assets

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  • Chang, Chi-Hung

Abstract

This article investigates the dynamic linkage between insurance and banking activities from the asset size of the insurance sector in the context of a panel vector autoregression (VAR) framework using data for 73 countries from 1980 to 2014. Panel Granger-causality tests show that a Granger causal relation generally runs from banking activities to insurance sector assets. Impulse response analyses for the whole sample demonstrate that the size of insurance assets responds positively to a shock to liquid liabilities and deposits of the financial system, but negatively to a shock to deposit money bank assets as well as private credit issued by commercial banks, other financial institutions, and deposit banks. The observations are qualitatively identical for high-income countries, while the results are largely different for middle- and low-income countries. Moreover, we observe a significant interaction between insurance and banking activities in civil law countries rather than in common law ones.

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  • Chang, Chi-Hung, 2018. "The dynamic linkage between insurance and banking activities: An analysis on insurance sector assets," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 36-50.
    • Handle: RePEc:eee:mulfin:v:46:y:2018:i:c:p:36-50
    DOI: 10.1016/j.mulfin.2018.07.001
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    More about this item

    Keywords

    Insurance activities; Banking activities; Panel Granger causality test; Panel VAR approach;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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