 Examining comovement and causality between producer price index for P&C insurance premium and uncertainty indices: Wavelet and non-parametric quantile causality approachDivya Aggarwal and Deepali Kalia Research in Economics, 2022, vol. 76, issue 2, 141-148 Abstract: This study examines the impact of the news-based climate policy uncertainty index (CPU) on PPI-P&C. To understand the impact of different types of uncertainty on P&C insurance premiums, the study also examines the relation of economic policy uncertainty (EPU), and geopolitical risk uncertainty (GPU) with PPI-P&C index. The time-frequency relation between the indices is examined using wavelet coherence analysis (WCA), whereas the casual dependency is examined using the non-parametric causality in quantiles (CIQ) approach and linear and non-linear Granger causality tests. WCA shows significant co-movement phases between CPU and PPI-P&C across time-frequency domain with CPU leading the PPI-P&C over a specific time interval. Results from CIQ give evidence of uncertainty indices having an asymmetric significant dependency relation with the PPI-P&C index. The results have implications for examining the impact of rising uncertainties on rising insurance costs for P&C insurance providers. Keywords: P&C insurance premium; Climate policy uncertainty; Wavelet coherence; Causality in quantiles (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:76:y:2022:i:2:p:141-148 DOI: 10.1016/j.rie.2022.07.003 Access Statistics for this article Research in Economics is currently edited by Federico Etro More articles in Research in Economics from Elsevier |
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