Top

Zeitschrift für die gesamte Versicherungswissenschaft

Published in:

01-02-2014 | Abhandlung

Are interest rates too low? Empirical evidence and implications for German life insurers

Authors: Tobias Basse, Meik Friedrich, Anne Kleffner, J.-M. Graf von der Schulenburg

Published in: Zeitschrift für die gesamte Versicherungswissenschaft | Issue 1/2014

Activate our intelligent search to find suitable subject content or patents.

search-config

AI-assisted search

Off

Abstract

The current financial crisis has reduced government bond yields in Germany, the U.S., the UK and other countries. Low interest rates do create some problems for the European insurance industry. Especially life insurers seem to face some difficulties. The empirical results reported in this paper give support to the point of view that the relationship among German long-term interest rates, consumer price inflation and industrial production has changed significantly in the year 2009. Turning to the important question under which circumstances an increase to interest rates is likely to occur the empirical evidence reported in this paper does indicate that higher inflation rates should be a cause for rising bond yields.

previous article EIOPA – Eine Überschreitung des europäischen Rechtsrahmens und die sich daraus ergebenden praktischen Konsequenzen

next article Stock investments for German life insurers in the current low interest environment: more homework to do

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Bagliano, F.C., Favero, C.A.: Measuring monetary policy with VAR models: an evaluation. Eur. Econ. Rev. 42, 1069–1112 (1998) CrossRef

Barsky, R.B.: The Fisher hypothesis and the forecastability and persistence of inflation. J. Monet. Econ. 19, 3–24 (1987) CrossRef

Basse, T., Reddemann, S.: Variable-ordering induced problems of impulse-response analysis and other difficulties: the dividend policy of Austrian firms. Int. J. Comput. Econ. Econom. 1, 278–293 (2010) CrossRef

Basse, T., Reddemann, S.: Inflation and the dividend policy of US firms. Manag. Finance 37, 34–46 (2011)

Basse, T., Friedrich, M.: Solvency II, asset liability management, and the European bond market—theory and empirical evidence. ZVersWiss 97, 155–171 (2008) CrossRef

Basse, T., Friedrich, M., Kleffner, A.: Italian government debt and sovereign credit risk: an empirical exploration and some thoughts about consequences for European insurers. ZVersWiss 101, 571–579 (2012) CrossRef

Berument, H., Jelassi, M.M.: The Fisher hypothesis: a multi-country analysis. Appl. Econ. 34, 1645–1655 (2002) CrossRef

Cantor, R., Packer, F.: Determinants and impact of sovereign credit ratings. FRBNY Econ. Policy Rev. 2, 37–54 (1996)

Cooray, A.: The Fisher effect: a survey. Singap. Econ. Rev. 48, 135–150 (2003) CrossRef

Doornik, J.A.: Approximations to the asymptotic distributions of cointegration tests. J. Econ. Surv. 12, 573–593 (1998) CrossRef

El-Erian, M.A.: Evolution, impact, and limitations of unusual central bank policy activism. Mon. Rev. - Fed. Reserve Bank St. Louis 94, 243–264 (2012)

Engsted, T.: Does the long-term interest rate predict future inflation? A multi-country analysis. Rev. Econ. Stat. 77, 42–56 (1995) CrossRef

Fisher, I.: The Rate of Interest. Macmillan, New York (1907)

Fawley, B.W., Neely, C.J.: Four stories of quantitative easing. Mon. Rev. - Fed. Reserve Bank St. Louis 95, 51–88 (2013)

Gonzalo, J.: Five alternative methods of estimating long-run equilibrium relationships. J. Econom. 60, 203–233 (1994) CrossRef

Guimarães, R.: What accounts for the fall in UK ten-year government bond yields? Bank Engl. Q. Rev. 52(2), 213–223 (2012)

Hall, P.: The Bootstrap and Edgeworth Expansion. Springer, New York (1992) CrossRef

Hansen, H., Johansen, S.: Some tests for parameter constancy in cointegrated VAR-models. Econom. J. 2, 306–333 (1999) CrossRef

Hoover, K.D., Jordá, O.: Measuring systematic monetary policy. Mon. Rev. - Fed. Reserve Bank St. Louis 83, 113–138 (2001)

Johansen, S.: Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551–1580 (1991) CrossRef

Johansen, S., Mosconi, R., Nielsen, B.: Cointegration analysis in the presence of structural breaks in the deterministic trend. Econom. J. 3, 216–249 (2000) CrossRef

Lütkepohl, H., Saikkonen, P., Trenkler, C.: Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. Econom. J. 4, 287–310 (2001) CrossRef

Mehra, Y.P.: The bond rate and actual future inflation. Federal Reserve Bank of Richmond Economic Quarterly 84, 27–47 (1998)

Neely, C.J., Rapach, D.E.: Real interest rate persistence: evidence and implications. Mon. Rev. - Fed. Reserve Bank St. Louis 90, 609–641 (2008)

Neumann, M.J.M., von Hagen, J.: Does inflation targeting matter? Mon. Rev. - Fed. Reserve Bank St. Louis 84, 127–148 (2002)

Pesaran, M.H., Schuermann, T., Treutler, B.J., Weiner, S.M.: Macroeconomic dynamics and credit risk: a global perspective. J. Money Credit Bank. 38, 1211–1261 (2006) CrossRef

Reddemann, S., Basse, T., Schulenburg, J.-M., v. d.: On the impact of the financial crisis on the dividend policy of the European insurance industry. Geneva Pap. Risk Insur., Issues Pract. 35, 53–62 (2010) CrossRef

Siklos, P.L., Wohar, M.E.: Convergence in interest rates and inflation rates across countries and over time. Rev. Int. Econ. 5, 129–141 (1997) CrossRef

Re, S.: Facing the Interest Rate Challenge. Swiss Re, Zurich (2012)

Taylor, J.B.: Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, vol. 39, pp. 195–214. (1993)

Walsh, C.E., Wilcox, J.A.: Bank credit and economic activity. In: Peek, J., Rosengreen, E.S. (eds.) Is Bank Lending Important for the Transmission of Monetary Policy? pp. 83–112. Federal Reserve Bank of Boston, Boston (1995)

Wray, R.L.: Alternative theories of the rate of interest. Camb. J. Econ. 16, 69–89 (1992)

Title: Are interest rates too low? Empirical evidence and implications for German life insurers
Authors: Tobias Basse
Meik Friedrich
Anne Kleffner
J.-M. Graf von der Schulenburg
Publication date: 01-02-2014
Publisher: Springer Berlin Heidelberg
Published in: Zeitschrift für die gesamte Versicherungswissenschaft / Issue 1/2014
Print ISSN: 0044-2585
Electronic ISSN: 1865-9748
DOI: https://doi.org/10.1007/s12297-013-0256-0

Springer Professional

Abstract

Please log in to get access to your license.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft"

Springer Professional "Wirtschaft+Technik"

Other articles of this Issue 1/2014

Wolf/Lindacher/Pfeiffer: AGB-Recht. Kommentar

EIOPA – Eine Überschreitung des europäischen Rechtsrahmens und die sich daraus ergebenden praktischen Konsequenzen

Stock investments for German life insurers in the current low interest environment: more homework to do

Neuerscheinungen versicherungswissenschaftlicher Bücher – Ausführliche Hinweise

Editorial

Gewinn- versus Kundenorientierung: Welche Ziele verfolgen deutsche Versicherungsvermittler?