Author(s): Silva, Ana
Date: 2017
Persistent ID: http://hdl.handle.net/10362/26216
Origin: Repositório Institucional da UNL
Subject(s): Interconnectedness; Systemic risk; Insurance; Granger causality; Domínio/Área Científica::Ciências Sociais::Economia e Gestão
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.
