Insurance activities and banking credit causal nexus: evidence from China

Guan-Chun Liu and Chien-Chiang Lee ()

Applied Economics Letters, 2014, vol. 21, issue 9, 626-630

Abstract: Employing an advanced bootstrap VAR model with a fixed rolling window, we investigate the causal nexus between insurance activities and banking credit in China. Parameter stability tests show that none of the traditional VAR models have stable parameters, and hence the full sample results are unreliable. Rolling window results indicate the time-varying causal nexus between them in various subsamples in China and two key structural change points -- the years 2002 and 2008.

Date: 2014
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DOI: 10.1080/13504851.2013.879278

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