Insurance Companies by Panel VAR Approach

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Nazemi Behroz; SHARIFI RENANI HOSEIN; DAEE KARIMZADEH SAEED

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Journal: Financial Economics Year:2021 | Volume:14 | Issue:53 Page(s): 133-155

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Title

Insurance Companies by Panel VAR Approach

Author(s)

Nazemi Behroz | SHARIFI RENANI HOSEIN | DAEE KARIMZADEH SAEED | Issue Writer Certificate

Keywords

Exchange rate

Insurance

Loss ratio

Panel vector auto regression model (PVAR)

Abstract

The purpose of this paper is to investigate the impact of Exchange rate shocks on the profitability performance of Insurance companies using Panel VAR approach. For this purpose, the statistical data of 16 active commercial Insurance companies in Tehran Stock Exchange during the period 2001-2018 were used. The variables used in this study included Exchange rate, return on assets and equity, Loss ratio and premium. The results showed that by introducing a shock as much as a standard deviation of the variable rate of return on the asset return, the positive reaction initially appeared and decreased after six periods of shock effect and in the long run the shock effect of Is gone. The response of Insurance companies' stock returns to the shock of the Exchange rate zone was such that the variable initially had a positive response and continued for five periods of impact, but then the shock effect disappeared. The response of the premium and Loss ratio variables to the shock from the positive Exchange rate has also been positive. According to the results of analysis of variance it can be seen that in the long run the Exchange rate was able to explain 18. 01% and 18. 48% of the volatility of ROA and ROE variables. Given the structure considered in this study, it can be stated that the insecurity of the Insurance companies has had a significant impact on the Exchange rate impact on their profitability.

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APA: Copy

Nazemi, Behroz, SHARIFI RENANI, HOSEIN, & DAEE KARIMZADEH, SAEED. (2021). Insurance Companies by Panel VAR Approach. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 14(53 ), 133-155. SID. https://sid.ir/paper/669285/en

Vancouver: Copy

Nazemi Behroz, SHARIFI RENANI HOSEIN, DAEE KARIMZADEH SAEED. Insurance Companies by Panel VAR Approach. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2021;14(53 ):133-155. Available from: https://sid.ir/paper/669285/en

IEEE: Copy

Behroz Nazemi, HOSEIN SHARIFI RENANI, and SAEED DAEE KARIMZADEH, “Insurance Companies by Panel VAR Approach,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 14, no. 53 , pp. 133–155, 2021, [Online]. Available: https://sid.ir/paper/669285/en

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