The dynamic linkage between insurance and banking activities: An analysis on insurance sector assets

摘要

This article investigates the dynamic linkage between insurance and banking activities from the asset size of the insurance sector in the context of a panel vector autoregression (VAR) framework using data for 73 countries from 1980 to 2014. Panel Granger-causality tests show that a Granger causal relation generally runs from banking activities to insurance sector assets. Impulse response analyses for the whole sample demonstrate that the size of insurance assets responds positively to a shock to liquid liabilities and deposits of the financial system, but negatively to a shock to deposit money bank assets as well as private credit issued by commercial banks, other financial institutions, and deposit banks. The observations are qualitatively identical for high-income countries, while the results are largely different for middle- and low-income countries. Moreover, we observe a significant interaction between insurance and banking activities in civil law countries rather than in common law ones.