我国保险业顺周期性的实证研究
发布时间:2018-05-21 18:35
本文选题:保险业 + 顺周期性 ; 参考:《中国海洋大学》2013年硕士论文
【摘要】:随着金融危机的爆发,顺周期性被认为是造成金融系统脆弱性的原因之一,金融系统顺周期性成为经济界研究的热点。目前对于顺周期性的研究绝大多数集中于银行业的顺周期性。随着保险业的发展和成熟,保险在分担风险和集聚资本方面的作用更加凸显。因此对于我国保险业顺周期性进行研究有利于掌握保险业发展和波动的规律,有针对性地避免顺周期性可能带来的风险。 在大量研究顺周期性的文献中,并未对顺周期性进行明确而统一的界定。本文通过对大量文献进行梳理,整理出4种不同内涵的顺周期性的定义。通过对相关理论的研究并结合实际,选取了保险业顺GDP周期、顺存款周期及自身顺周期三个方面作为研究方向。本文对三个研究方向的相关理论进行了说明,并通过对数据趋势的分析分别对每个方面做出了直观的分析和基本假设,为实证研究部分奠定了理论基础。 在对我国保险业的顺周期性进行实证研究时,首先对保险业顺周期的存在性进行了检验。在此基础上,通过实证分析顺周期性的影响机制,进一步验证了顺周期性的存在,,并且清晰地表明变量间的影响机制。 在对我国保险业顺周期的存在性进行研究时,本文选取了协整分析的方法。一般认为存在长期协整关系能够判断顺周期存在性,本文选取31个省市1998年一2011年的面板数据,对保费收入与GDP、保费收入与储蓄存款两组变量之间的协整关系进行了检验。结果表明,保费收入与GDP、保费收入与储蓄存款之间存在长期稳定的协整关系。保费收入与其本身之间必定存在协整关系。研究结果表明我国保险业的顺周期性是存在的。 在对我国保险业顺周期的影响机制进行研究时,本文运用了格兰杰因果检验、自回归模型估计、脉冲响应函数、方差分解和滤波分解等方法。通过选取我国1980年一2011年间国内生产总值、储蓄存款和保费收入的数据,从不同角度各有侧重地对顺周期性的影响机制进行检验。格兰杰因果是对变量之间关系进行定性描述,自回归模型对变量之间关系进行定量描述,脉冲响应函数分别对GDP、储蓄存款和保费收入自身波动对保费收入的冲击进行描述,方差分解对三个变量影响保费收入波动的贡献度进行了定量研究。通过分析可以看出,无论是从短期还是长期来看,保费收入自身、GDP和储蓄存款余额的波动都是解释保费收入波动的重要原因。特别是GDP在影响保险业顺周期性的因素中占较大的比例,从一定意义上说明了我国保险业顺GDP的周期性较强;储蓄存款余额波动对于解释保费收入波动的力度虽然不如GDP那样明显,但是这种解释作用还是比较明显的,说明储蓄存款余额是保险业波动的重要原因。 在此基础上,本文对顺周期性的存在而引起的积极意义和可能带来的风险进行了简要分析,相应提出了增强保险机构的风险观念和内部风险管理、转变保险业激励机制和建立逆周期监管等建议。 本文的创新点在于通过对顺周期性含义的梳理,确定了研究保险业顺周期性的三个角度,为全面地分析保险业顺周期性提供了新的研究思路。本文的贡献在于对保险业顺周期性的存在性进行了检验,对于根据这种规律及时调整保险业发展的策略和相关政策具有一定的实践意义。此外,本文在对保险业顺周期性的经济分析和相应的政策建议也可作为实施保险业相关政策的参考。
[Abstract]:Along with the outbreak of the financial crisis, the CIS periodicity is considered to be one of the reasons for the vulnerability of the financial system. The CIS cycle of the financial system has become a hot spot in the research of the economy. Therefore, the study of the CIS cycle of China's insurance industry is conducive to the control of the law of the development and volatility of the insurance industry, and to avoid the risks that may be brought about by the cyclical.
In the literature of a large number of studies on the cyclical nature, there is no clear and unified definition of the CIS cyclical nature. By combing a large number of documents, this paper collate 4 definitions of the CIS cycle of different connotations. Through the study of the relevant theories and the combination of practice, the insurance industry is cis GDP cycle, the CIS deposit cycle and the self CIS cycle of three are selected. As the research direction, this paper explains the related theories of the three research directions, and makes a visual analysis and basic hypothesis for each aspect by analyzing the data trend, which lays a theoretical foundation for the empirical research.
In the empirical study of the CIS cycle of China's insurance industry, the existence of the insurance business cycle is tested first. On this basis, through the empirical analysis of the mechanism of the cyclical impact, the existence of the CIS cycle is verified and the influence mechanism between the variables is clearly demonstrated.
In the study of the existence of the insurance business cycle in China, this paper selects the cointegration analysis method. It is generally believed that the existence of long-term co integration can judge the existence of the CIS cycle. In this paper, the panel data of the 31 provinces and cities in the first 2011 of 1998 is selected, and the cointegration between premium income and GDP, premium income and savings account two sets of variables The results show that there is a long-term and stable cointegration relationship between premium income and GDP, premium income and savings deposits. There must be a cointegration relationship between premium income and its own. The results show that the CIS cycle of China's insurance industry exists.
In the study of the impact mechanism of China's insurance industry, this paper uses Grainger causality test, autoregressive model estimation, impulse response function, variance decomposition and filter decomposition. By selecting the data of GDP, savings deposits and premium income in China in the first 2011 years of 1980, we have different points of view from different angles. Grainger causality is a qualitative description of the relationship between variables. The relationship between the variables is described quantitatively by the autoregressive model. The impulse response function describes the impact of GDP, savings deposit and premium income on the impact of premium income, and the variance decomposition affects the three variables. The contribution of premium income fluctuation is quantitatively studied. Through analysis, it can be seen that, from short or long term, premium income itself, GDP and the fluctuation of savings deposit balance are important reasons for explaining the volatility of premium income. Especially, the proportion of GDP in the factors that affect the insurance industry is a larger proportion, from a certain point of view. It shows that China's insurance industry is more cyclical than GDP, while the fluctuation of savings deposit balance is not as obvious as that of GDP, but this explanation is more obvious, indicating that the balance of savings deposits is an important reason for the fluctuation of the insurance industry.
On this basis, this paper makes a brief analysis of the positive and possible risks caused by the existence of cyclical, and puts forward some suggestions on strengthening the risk concept and internal risk management of the insurance institutions, changing the incentive mechanism of the insurance industry and setting up the reverse cycle supervision.
The innovation of this paper is to determine the three angles of the study of the CIS cycle of the insurance industry by combing the meaning of the CIS cycle, and to provide a new way of thinking for the comprehensive analysis of the insurance industry's CIS cycle. The development strategy and relevant policies are of certain practical significance. In addition, this paper can also be used as a reference for the implementation of the related policy of insurance industry in the economic analysis of the insurance industry and the corresponding policy recommendations.
【学位授予单位】:中国海洋大学
【学位级别】:硕士
【学位授予年份】:2013
【分类号】:F842
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