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Investigating the Asymmetric Effects of Exchange Rates on Insurance Premiums of Insurance Companies in Short-run and Long- run; NARDL-PMG Approach

Author

Listed:
  • Nazemi, Behroz

    (PhD student in Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran)

  • Sharifi Renani, Hossein

    (Associate Professor, Department of Economics. Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran)

  • Daei Karimzadeh, Saeed

    (Associate Professor, Department of Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran)

Abstract

The purpose of this paper was to investigate the asymmetric short-run and long- run effects of exchange rates on insurance premiums produced by insurance companies using the NARDL-PMG approach. For this purpose, statistical information of selected commercial insurance companies for the period of 1380-1398 was used. Since in the estimation model, the existence of an independent variable lag between the estimators causes serious problems in the regression model, in order to eliminate these limitations, the estimator of the PMG is used. Also, the use of nonlinear models will lead to more realistic results than the variable reaction of production premiums to exchange rate shocks. The results showed that the positive and negative shocks of the exchange rate had asymmetric and different effects on the production premiums of insurance companies. The results showed that positive exchange rate shocks and an increase in it led to an increase in the production premiums of insurance companies and negative shocks and a decrease in the exchange rate led to a decrease in the production premiums of insurance companies. This reflects the different impact of exchange rates on corporate production premiums, which have had a stronger impact in the long run than in the short term

Suggested Citation

  • Nazemi, Behroz & Sharifi Renani, Hossein & Daei Karimzadeh, Saeed, 2021. "Investigating the Asymmetric Effects of Exchange Rates on Insurance Premiums of Insurance Companies in Short-run and Long- run; NARDL-PMG Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 8(2), pages 107-128, September.
    • Handle: RePEc:ris:qjatoe:0229
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    More about this item

    Keywords

    Exchange rate; Insurance premiums; Asymmetric shock; NARDL-PMG.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

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