EconPapers    
Economics at your fingertips  
 

Insurers’ investment strategies: pro- or countercyclical?

Margherita Giuzio and Linda Rousová

No 2299, Working Paper Series from European Central Bank

Abstract: Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views. Our model predicts procyclicality when prices fall due to increasing risk premia, and countercyclicality in response to rises in the risk-free rate. Using granular data on insurers’ government bond holdings, we validate these predictions empirically. Our findings contribute to the current policy discussion on macroprudential measures beyond banking. JEL Classification: G01, G11, G12, G22, G23

Keywords: cyclicality; financial stability; insurance companies; portfolio allocation; sovereign debt crisis (search for similar items in EconPapers)
Date: 2019-07
New Economics Papers: this item is included in nep-ias and nep-rmg
Note: 3546207
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2299~1d060f6979.en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20192299

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2025-03-19
Handle: RePEc:ecb:ecbwps:20192299