The Rising Interconnectedness of the Insurance Sector

Tristan Jourde

Working papers from Banque de France

Abstract: This paper examines the long-term evolution of the linkages of the insurance sector with financial and non-financial companies. We develop a measure of connectedness using a multifactor model of weekly equity returns. The empirical analysis is conducted from 1973 to 2018, for 16 developed countries, at both the sectoral and institution levels. The results indicate that, unlike other sectors, the connectedness level of the insurance industry has strengthened over time. We also find that the linkages of the largest insurance companies with financial and non-financial firms are structurally different but as high as those of the largest banks.

Keywords: Comovements; Insurance Sector; Interconnectedness; Macroprudential Regulation; Systemic Risk (search for similar items in EconPapers)
JEL-codes: G15 G22 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2022
New Economics Papers: this item is included in nep-fdg, nep-ias and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:857

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