Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan

Mehmet Balcilar, Godwin Olasehinde-Williams and Muhammad Shahbaz

No 15-39, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: By employing a non-linear autoregressive distributed lag (NARDL) model, this study investigates the effect of monetary policy uncertainty on insurance premium per-capita in Japan. Asides the confirmation of a long-run relationship between monetary policy uncertainty, insurance premium per-capita and real income per-capita, we also find that a positive relationship exists between monetary policy uncertainty and insurance premium per-capita. This shows that when economic policy uncertainty increases (decreases) then insurance premiums increases (decreases) in response. Moreover, we discovered that monetary policy uncertainty impacts insurance premium per-capita in an asymmetric way, such that negative changes have a bigger effect than positive changes on total insurance premium per-capita in Japan. We also found that real income per-capita has a significant and positive effect on insurance premium per-capita, and that the long run elasticity of insurance premium per-capita real income per-capita is smaller than unit. This implies that insurance is a necessity and not a luxury in Japan.

Keywords: Monetary Policy Uncertainty; Insurance Premiums; NARDL (search for similar items in EconPapers)
JEL-codes: C32 G22 O16 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2018
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-39.pdf First version, 2018 (application/pdf)

Related works:
Journal Article: Asymmetric dynamics of insurance premium: the impact of monetary policy uncertainty on insurance premiums in Japan (2019)
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