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Investigating the Asymmetric Effects of Exchange Rates on Insurance Premiums of Insurance Companies in Short-run and Long- run; NARDL-PMG Approach

Behroz Nazemi (), Hossein Sharifi Renani () and Saeed Daei Karimzadeh ()
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Behroz Nazemi: PhD student in Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
Hossein Sharifi Renani: Associate Professor, Department of Economics. Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran
Saeed Daei Karimzadeh: Associate Professor, Department of Economics, Department of Economics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran

Quarterly Journal of Applied Theories of Economics, 2021, vol. 8, issue 2, 107-128

Abstract: The purpose of this paper was to investigate the asymmetric short-run and long- run effects of exchange rates on insurance premiums produced by insurance companies using the NARDL-PMG approach. For this purpose, statistical information of selected commercial insurance companies for the period of 1380-1398 was used. Since in the estimation model, the existence of an independent variable lag between the estimators causes serious problems in the regression model, in order to eliminate these limitations, the estimator of the PMG is used. Also, the use of nonlinear models will lead to more realistic results than the variable reaction of production premiums to exchange rate shocks. The results showed that the positive and negative shocks of the exchange rate had asymmetric and different effects on the production premiums of insurance companies. The results showed that positive exchange rate shocks and an increase in it led to an increase in the production premiums of insurance companies and negative shocks and a decrease in the exchange rate led to a decrease in the production premiums of insurance companies. This reflects the different impact of exchange rates on corporate production premiums, which have had a stronger impact in the long run than in the short term

Keywords: Exchange rate; Insurance premiums; Asymmetric shock; NARDL-PMG. (search for similar items in EconPapers)
JEL-codes: C23 E22 F31 O33 (search for similar items in EconPapers)
Date: 2021
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