TY  - UNPD
A1  - Pelizzon, Loriana
A1  - Sottocornola, Matteo
T1  - The impact of monetary policy interventions on the insurance industry
T2  - SAFE working paper series ; No. 204
N2  - This paper investigates the effect of the conventional and unconventional (e.g. Quantitative Easing - QE) monetary policy intervention on the insurance industry. We first analyze the impact on the stock performances of 166 (re)insurers from the last QE programme launched by the European Central Bank (ECB) by constructing an event study around the announcement date. Then we enlarge the scope by looking at the monetary policy surprise effects on the same sample of (re)insurers over a timeframe of 12 years, also extending the analysis to the Credit Default Swaps (CDS) market. In the second part of the paper by building a set of balance sheet-based indices, we identify the characteristics of (re)insurers that determine sensitivity to monetary policy actions. Our evidences suggest that a single intervention extrapolated from the comprehensive strategy cannot be utilized to estimate the effect of monetary policy intervention on the market. With respect to the impact of monetary policies, we show how the effect of interventions changes over time. Expansionary monetary policy interventions, when generating an instantaneous reduction of interest rates, generated movement in stock prices in the same direction till September 2010. This effect turned positive during the European sovereign debt crisis. However, the effect faded away in 2014-2015. The pattern is confirmed by the impact on the CDS market. With regard to the determinants of these effects, our analysis suggests that sensitivity is mainly driven by asset allocation and in particular by exposure to fixed income assets.
T3  - SAFE working paper - 204 
KW  - event study
KW  - monetary policy surprise
KW  - unconventional monetary policy
KW  - conventional monetary policy
KW  - insurance industry
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/46670
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-466704
UR  - https://ssrn.com/abstract=3167148
IS  - This version: March 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -