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Interconnectedness of the insurance sector with the banking and non-financial sectors
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This work project studies the interconnectedness of the European insurance sector with the banking and non-financial sectors through both a VAR model (together with the Granger causality test) and a Markov Switching model. I concluded that after the crisis, the existing linkages between institutions were more numerous than the ones that were detected prior to it. Evidence suggests that banks´ past returns began to Granger cause the returns of insurance companies and vice-versa only after the crisis. Lastly, it was seen that the interconnectedness among individual insurance companies during the 2008 crisis became stronger.
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Interconnectedness Systemic risk Insurance Granger causality