Forecasting the fragility of the banking and insurance sectors

Bernoth, Kerstin; Pick, Andreas

doi:10.1016/j.jbankfin.2010.10.024

Cited by 43 publications

(15 citation statements)

References 57 publications

(57 reference statements)

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“…We further tested for interactions among the insurance sector, the banking sector and economic growth through panel causality tests and found that a positive bi-causal relationship exists between insurance market activities and banking sector activities. This further confirms the complementary nature of their interaction and supports the findings of Webb et al (2002), Zou and Adams (2006), Bernoth and Pick (2011), and Lee and Chang (2015). The panel causality tests also showed that bidirectional causality exists between insurance market activities and economic growth, and between banking sector activities and economic growth.…”

Section: Resultssupporting

confidence: 88%

“…Researchers have particularly studied the interaction between insurance market activities and banking sector activities and obtained mixed results. Some have found complimentary effects in the interaction between the insurance and banking sectors (see Webb et al, 2002;Zou and Adams, 2006;Bernoth and Pick, 2011;Lee and Chang, 2015). The complementary effects are said to be due to the risk mitigating and compensating activities of the insurance sector which protects lenders and encourages banks to easily offer more loans.…”

Section: Literature Reviewmentioning

confidence: 99%

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The synergistic effect of insurance and banking sector activities on economic growth in Africa

2018

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Highlights• We evaluate the synergistic effect of financial sectors on economic growth in African countries.• The insurance-banking-growth nexus is examined through bootstrap panel causality tests.• The relationship between insurance and banking is a complimentary one and their synergistic impact on growth is positive.• The feedback hypothesis is confirmed in the relationship between finance and growth. AbstractIt is widely understood that the insurance and banking sectors of every economy perform some functions in driving economic growth. What is not yet well documented is whether their roles are complimentary or substitutive. With the aid of the dynamic panel-GMM estimation technique, this paper evaluates the synergistic effect of both sectors on economic growth in a panel of 11 African countries that are responsible for most of the activities in the continent's financial sector. The insurance-banking-growth nexus was also examined through panel causality tests. The resultsshow that life insurance market and the banking sector are complimentary and that the non-life insurance market and the banking sector are also complimentary. We find that overall, the relationship between the insurance and banking sectors in Africa is a complimentary one and that their synergistic impact on economic growth is positive. The feedback hypothesis was also confirmed in the relationship between the insurance sector and economic growth and between the banking sector and economic growth.

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Section: Resultssupporting

confidence: 88%

Section: Literature Reviewmentioning

confidence: 99%

The synergistic effect of insurance and banking sector activities on economic growth in Africa

2018

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“…Additionally, the dimension limitations of a traditional VAR model leaves some unobserved effects unaccounted for (Alves, 2005). In a recent paper, Bernoth and Pick (2011) model linkages between the insurance and banking sectors and forecast their default risk in presence of unobserved linkages and other common shocks using the CCE estimator 1 . The risk transmission between the components of the financial sector (banks and insurance) and additional non-financial corporate sectors and within the non-financial sector is not directly tackled, leaving an important source of risk to be further analyzed.…”

Section: Introductionmentioning

confidence: 99%

A Market-Based Approach to Sector Risk Determinants and Transmission in the Euro Area

Saldías

2011

SSRN Journal

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This paper presents research conducted within the Macroprudential Research Network (MaRs). The network is composed of economists from the European System of Central Banks (ESCB), i.e. the national central banks of the 27 European Union (EU) Member States and the European Central Bank. The objective of MaRs is to develop core conceptual frameworks, models and/or tools supporting macro-prudential supervision in the EU. The research is carried out in three work streams: 1) Macro-financial models linking financial stability and the performance of the economy; 2) Early warning systems and systemic risk indicators; 3) Assessing contagion risks. MaRs is chaired by Philipp Hartmann (ECB). Paolo Angelini (Banca d'Italia), Laurent Clerc (Banque de France), Carsten Detken (ECB), Simone Manganelli (ECB) and Katerina Šmídková (Czech National Bank) are workstream coordinators. Javier Suarez (Center for Monetary and Financial Studies) and Hans Degryse (Katholieke Universiteit Leuven and Tilburg University) act as external consultants. Fiorella De Fiore (ECB) and Kalin Nikolov (ECB) share responsibility for the MaRs Secretariat. The refereeing process of this paper has been coordinated by a team composed of Gerhard Rünstler, Kalin Nikolov and Bernd Schwaab (all ECB). The paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB or of the ESCB.

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“…However, the power of the Diebold-Mariano test could be affected by the short number of forecasts that we are comparing. For this reason, the results of the pair-wise comparison of the considered forecasting methods using a panel version of the Diebold-Mariano test as in Bernoth and Pick (2011) are shown in table 6. In particular, the test statistic is calculated as follows:…”

Section: Resultsmentioning

confidence: 99%

Unemployment forecasts, time varying coefficient models and the Okun’s law in Spanish regions

Clar-Lopez

López-Tamayo

Ramos

2014

Econom. bus. letters

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During the Great Recession, output and unemployment responses have differed markedly across Spanish regions. Our objective is to evaluate the relative accuracy of forecasting models based on the Okun's law compared to alternative approaches. In particular, we want to analyse if a time varying coefficient specification of the Okun's law provide better forecasts than alternative models in two different periods: a first period from 2002 to 2007 characterized by sustained economic growth in all provinces, and a second period from 2008 to 2013 characterized by the impact of the Great Recession. The obtained results allow us to conclude that, in general, the use of these models improve the forecasting capacity in most regions, but do not provide reliable forecast.

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Forecasting the fragility of the banking and insurance sectors

Cited by 43 publications

References 57 publications

The synergistic effect of insurance and banking sector activities on economic growth in Africa

The synergistic effect of insurance and banking sector activities on economic growth in Africa

A Market-Based Approach to Sector Risk Determinants and Transmission in the Euro Area

Unemployment forecasts, time varying coefficient models and the Okun’s law in Spanish regions

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