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@article{9696,
author = {Danielo, Lorenzo and Jakubík, Petr},
article_location = {Bratislava},
article_number = {1},
doi = {http://dx.doi.org/10.31577/ekoncas.2022.01.01},
keywords = {early warning system; insurance sector; financial distress},
language = {eng},
issn = {0013-3035},
journal = {Ekonomický časopis},
title = {Early Warning System for the European Insurance Sector},
url = {https://www.sav.sk/?lang=sk&doc=journal-list&part=list_articles&journal_issue_no=11116591},
volume = {70},
year = {2022}
}
TY - JOUR
ID - 9696
AU - Danielo, Lorenzo - Jakubík, Petr
PY - 2022
TI - Early Warning System for the European Insurance Sector
JF - Ekonomický časopis
VL - 70
IS - 1
SP - 3-21
EP - 3-21
PB - Ekonomický ústav SAV
SN - 00133035
KW - early warning system
KW - insurance sector
KW - financial distress
UR - https://www.sav.sk/?lang=sk&doc=journal-list&part=list_articles&journal_issue_no=11116591
N2 - This study proposes an Early Warning System model composed of macrofinancial and company-specific indicators that could help to anticipate a potential market distress in the European insurance sector. A distress is defined as periods in which insurance companies’ equity prices crash and CDS spreads spike simultaneously. The model is estimated using a sample of 36 insurance companies that are listed. Based on a fixed-effects panel binomial logit specification, empirical evidence shows that economic overheating that could be manifested by high economic growth, inflation and interest rates have negative impact on insurance sector stability. At the company level, a drop in return on assets and price-to-book value or raising operating expenses increase the likelihood of distress occurrence.
ER -
DANIELO, Lorenzo and Petr JAKUBÍK. Early Warning System for the European Insurance Sector. \textit{Ekonomický časopis}. Bratislava: Ekonomický ústav SAV, 2022, vol.~70, No~1, p.~3-21. ISSN~0013-3035. Available from: https://dx.doi.org/10.31577/ekoncas.2022.01.01.
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