Early Warning System for the European Insurance Sector

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Early Warning System for the European Insurance Sector

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Early Warning System for the European Insurance Sector

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Ekonomický časopis

ISSN

0013-3035

e-ISSN

—

Svazek periodika

70

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

SK - Slovenská republika

Počet stran výsledku

19

Strana od-do

3-21

Kód UT WoS článku

000827994400001

EID výsledku v databázi Scopus

2-s2.0-85139909294