Interconnectedness of the insurance sector with the banking and non-financial sectors

• Autor(a) principal: Silva, Ana
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/26216
• topic: Interconnectedness; Systemic risk; Insurance; Granger causality; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This work project studies the interconnectedness of the European insurance sector with the banking and non-financial sectors through both a VAR model (together with the Granger causality test) and a Markov Switching model. I concluded that after the crisis, the existing linkages between institutions were more numerous than the ones that were detected prior to it. Evidence suggests that banks´ past returns began to Granger cause the returns of insurance companies and vice-versa only after the crisis. Lastly, it was seen that the interconnectedness among individual insurance companies during the 2008 crisis became stronger.