Early Warning System for the European Insurance Sector

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F22%3A%230000861" target="_blank" >RIV/04274644:_____/22:#0000861 - isvavai.cz</a>
Result on the web
<a href="https://www.sav.sk/?lang=sk&doc=journal-list&part=list_articles&journal_issue_no=11116591" target="_blank" >https://www.sav.sk/?lang=sk&doc=journal-list&part=list_articles&journal_issue_no=11116591</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.31577/ekoncas.2022.01.01" target="_blank" >10.31577/ekoncas.2022.01.01</a>

Result language
angličtina
Original language name
Early Warning System for the European Insurance Sector
Original language description
This study proposes an Early Warning System model composed of macrofinancial and company-specific indicators that could help to anticipate a potential market distress in the European insurance sector. A distress is defined as periods in which insurance companies’ equity prices crash and CDS spreads spike simultaneously. The model is estimated using a sample of 36 insurance companies that are listed. Based on a fixed-effects panel binomial logit specification, empirical evidence shows that economic overheating that could be manifested by high economic growth, inflation and interest rates have negative impact on insurance sector stability. At the company level, a drop in return on assets and price-to-book value or raising operating expenses increase the likelihood of distress occurrence.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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