Detail publikace

Early Warning System for the European Insurance Sector

Autor: doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., Lorenzo Danieli
Typ: Články v impaktovaných časopisech
Rok: 2022
Číslo: 0
ISSN / ISBN:
Publikováno v: Journal of Economics, vol. 70, no. 1, pp 3-21.
Místo vydání:
Klíčová slova: early warning system, insurance sector, financial distress
JEL kódy:
Citace:
Granty: GAČR 20-00178S - Dopad normalizace úrokových sazeb na řízení rizik
Abstrakt: This study proposes an Early Warning System model composed of macro-financial and company-specific indicators that could help to anticipate a potential market distress in the European insurance sector. A distress is de-fined 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 over-heating 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.

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