Systemic Risk and the Interconnectedness Between Banks and Insurers: An Econometric Analysis
利用信用违约互换价差和日内股价数据衡量保险业的系统性风险，通过格兰杰因果检验发现银行与保险公司之间存在双向因果关系，但银行对保险公司的影响更强且更持久。
Abstract This article uses daily market value data on credit default swap spreads and intraday stock prices to measure systemic risk in the insurance sector. Using the systemic risk measure, we examine the interconnectedness between banks and insurers with Granger causality tests. Based on linear and nonlinear causality tests, we find evidence of significant bidirectional causality between insurers and banks. However, after correcting for conditional heteroskedasticity, the impact of banks on insurers is stronger and of longer duration than the impact of insurers on banks. Stress tests confirm that banks create significant systemic risk for insurers but not vice versa.