我国保险公司利率风险实证研究——基于四家上市保险公司的数据

发布时间：2018-02-26 08:39

  本文关键词： 保险公司 利率风险 单位根检验 自相关检验　出处：《财会月刊》2016年08期 　论文类型：期刊论文

【摘要】：随着利率市场化改革的深入推进,我国保险公司面临的利率风险越来越大。本文利用我国四家上市保险公司的数据,研究股票收益率变动与利率变动之间的关系。首先对数据进行多重共线性检验、平稳性检验和自相关检验,由于利率数据是非平稳的,利用数据的一阶差分做回归分析;而D.W检验结果表明,随机误差项存在自相关现象,因而用Cochrane-Orcutt迭代法来解决自相关问题。模型检验结果表明,四家上市保险公司股票收益率的变动均对利率变动敏感,即存在较大的利率风险。最后分析了我国保险公司面临较大利率风险的原因并提出相应的对策。
[Abstract]:With the deepening reform of interest rate marketization, the interest rate risk faced by Chinese insurance companies is increasing. This paper uses the data of four listed insurance companies in our country. This paper studies the relationship between stock yield and interest rate change. Firstly, the multiplex collinearity test, stationary test and autocorrelation test are carried out. Because the interest rate data are non-stationary, the first order difference of the data is used to make regression analysis. The result of D.W test shows that the random error term has autocorrelation phenomenon, so the Cochrane-Orcutt iterative method is used to solve the autocorrelation problem. The model test results show that the stock return rate of the four listed insurance companies is sensitive to the change of interest rate. In the end, the paper analyzes the reasons why the insurance companies in our country are facing the higher interest rate risk and puts forward the corresponding countermeasures.
【作者单位】： 湖北经济学院金融学院;湖北经济学院经济学系;
【基金】：国家社会科学基金项目“中小企业信用制度和信用担保评级制度研究”(项目编号:10BJY052) 教育部人文社科基金项目“农村信用体系建设与制度创新研究”(项目编号:09YJC790074)
【分类号】：F842.3
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本文编号：1537283