| Author(s): |
doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., Lorenzo Danieli
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| Type: |
Articles in journals with impact factor |
| Year: |
2022 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Journal of Economics, vol. 70, no. 1, pp 3-21. |
| Publishing place: |
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| Keywords: |
early warning system, insurance sector, financial distress |
| JEL codes: |
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| Suggested Citation: |
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| Grants: |
GACR 20-00178S - The impact of the normalisation of interest rates on risk management
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| Abstract: |
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. |
