Asymmetric dynamics of insurance premium : the impacts of output and economic policy uncertainty

dc.contributor.authorGupta, Rangan
dc.contributor.authorLahiani, Amine
dc.contributor.authorLee, Chi-Chuan
dc.contributor.authorLee, Chien-Chiang
dc.date.accessioned2018-09-17T05:34:43Z
dc.date.issued2019-12
dc.description.abstractThis paper investigates the asymmetric and nonlinear transmission of real output and economic policy uncertainty to insurance premiums for the US economy over the annual period of 1980–2014. Using the most up-to-date nonlinear autoregressive distributed lags framework, we simultaneously examine short- and long-run asymmetric responses of insurance premiums through positive and negative partial sum decompositions of changes in the explanatory variables. Our empirical results reveal that real output and economic policy uncertainties both affect insurance premiums in an asymmetric and nonlinear manner, but the transmission mechanism is not the same. As to the impact of real output, we find that an increase in real output leads to enhancing the insurance premiums, while a decrease in output has a greater impact causing insurance premiums to move down. For the impact of economic policy uncertainty, the results also suggest that total and non-life insurance premiums increase with rising uncertainty, while life insurance premiums decrease with rising uncertainty. These results have significant implications for insurance-related econometric analysis, investment decisions, forecasting, and policy-making.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2019-07-30
dc.description.librarianhj2018en_ZA
dc.description.sponsorshipChien-Chiang Lee is grateful to the Ministry of Science and Technology of Taiwan for financial support through Grant MOST 104-2628-H-110-001.en_ZA
dc.description.urihttp://link.springer.com/journal/181en_ZA
dc.identifier.citationGupta, R., Lahiani, A., Lee, CC. et al. Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty. Empirical Economics 57, 1959–1978 (2019) doi:10.1007/s00181-018-1539-z.en_ZA
dc.identifier.issn0377-7332 (print)
dc.identifier.issn1435-8921 (online)
dc.identifier.other10.1007/s00181-018-1539-z
dc.identifier.urihttp://hdl.handle.net/2263/66571
dc.language.isoenen_ZA
dc.publisherSpringeren_ZA
dc.rights© Springer-Verlag GmbH Germany, part of Springer Nature 2018. The original publication is available at http://link.springer.comjournal/181.en_ZA
dc.subjectInsurance premiumsen_ZA
dc.subjectReal outputen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.subjectNonlinear autoregressive distributed lags (NARDL)en_ZA
dc.titleAsymmetric dynamics of insurance premium : the impacts of output and economic policy uncertaintyen_ZA
dc.typePostprint Articleen_ZA

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