The nexus between insurance activity and economic growth: A bootstrap rolling window approach

Guan-Chun Liu, Chien-Chiang Lee () and Chi-Chuan Lee

International Review of Economics & Finance, 2016, vol. 43, issue C, 299-319

Abstract: This paper investigates the long-run linkage and short-run time-lagged causality between insurance activity and economic growth for G-7 countries. To overcome the problem of structural change, we adopt the bootstrap Granger causality test to full samples and subsamples with a fixed window size. We find that there exists a long-run relation between the series, and the results of the bootstrap Granger causality test in the full sample show that the short-run causal relationships are country-specific. Differing from the full sample results, the evidence of rolling VAR models demonstrates that the short-run causal nexus between the series is time-varying across various subsamples.

Keywords: Insurance activity; Economic growth; Bootstrap Granger causality test; Parameter instability test; Time-varying causality (search for similar items in EconPapers)
JEL-codes: G22 G28 G32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:43:y:2016:i:c:p:299-319

DOI: 10.1016/j.iref.2015.11.004

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