The Impact of the Monetary Policy Interventions on the Insurance Industry

Loriana Pelizzon () and Matteo Sottocornola
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Matteo Sottocornola: EIOPA

No 8, EIOPA Financial Stability Report - Thematic Articles from EIOPA, Risks and Financial Stability Department

Abstract: This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing) monetary policy intervention on the insurance industry. We first analyse the impact on the stock performances of 166 (re)insurers of the last Quantitative Easing programme launched by the ECB by constructing an event study around the announcement date. Then we enlarge the scope by looking at the monetary policy surprise effects on the same sample of (re)insurers over a timeframe of 8 years. Our evidences suggest that a single intervention extrapolated from the comprehensive strategy cannot be utilized to estimate the effect of the monetary policy intervention on the market. On the impact of monetary policies we show how the effect of interventions changes over time. The expansionary monetary policy interventions, when generating an instantaneous reduction of interest rates, had an immediate positive effect on the stock market and on the insurance industry from 2008 till 2013. However, the effect fades away in 2014-2015. This period includes the last ECB QE intervention and it is characterized by already extreme low interest rates shows statistically non-significant effects on the (re)insurers stock returns.

Keywords: Insurance; monetary policy; financial stability (search for similar items in EconPapers)
JEL-codes: E27 G22 G28 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2016-12
New Economics Papers: this item is included in nep-ias, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Financial Stability Report, EIOPA, December 2016, pages 72-97

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