Title
Did federal funds target rate changes affect the market value of insurance compagnies?
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Antwerp :UA, [*]
Subject
Economics
Source (series)
Reasarch paper / UA, Faculty of Applied Economics ; 2012:027
Volume/pages
24 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
In this paper, we study the sensitivity of insurance companies stock returns with respect to expected and unexpected changes in the Federal funds target rate over the period 1988-2007. We confirm Bernanke and Kuttner (2005) that, as stocks in general, insurance stock returns are only sensitive to the unexpected changes in the Federal funds target rate, but not to the expected ones. However, market-adjusted stock returns do only show a reaction for the non-life insurers. For life insurers, there does not seem to be an industry specific effect on their market value. This can be explained by the business models life and nonlife insurers adopt.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/86aa19/cbba462c.pdf
Handle