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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林建甫(Chien-Fu Lin) | |
| dc.contributor.author | Kuan-Hsuan Lin | en |
| dc.contributor.author | 林冠伭 | zh_TW |
| dc.date.accessioned | 2022-11-24T09:26:27Z | - |
| dc.date.available | 2022-11-24T09:26:27Z | - |
| dc.date.copyright | 2021-11-03 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-10-27 | |
| dc.identifier.citation | Berends, K., McMenamin, R., Plestis, T., Rosen, R. J. (2013). The sensitivity of life insurance firms to interest rate changes. Economic Perspectives, 37(2). Bloom, N (2009), “The impact of uncertainty shocks”, Econometrica 77(3): 623-685. Brewer, Elijah, III, E., Carson, J. M., Elyasiani, E., Mansur, I., and Scott, W. L. (2007). Interest rate risk and equity values of life insurance companies: A GARCH–M model. Journal of Risk and Insurance, 74(2), 401-423. Cummins, J. D., and Weiss, M., A. (2014): “Systemic Risk and The U.S. Insurance Sector”, The Journal of Risk and Insurance, Vol. 81, No. 3, 489–527 European Central Bank (2005): “Financial Stability Review”, Frankfurt, Germany: ECB European Insurance and Occupational Pensions Authority (2020): “Financial Stability Report”, Frankfurt, Germany: EIOPA European Systemic Risk Board (2021): “Lower for longer–macroprudential policy issues arising from the low interest rate environment. Environment”, Frankfurt, Germany: ESRB Fama, Eugene F. and French, Kenneth R. (1993): ‘Common Risk Factors in the Returns on Stocks and Bonds’, Journal of Financial Economics, 33/1: 3–56. Hartley, D., Paulson, A., and Rosen, Richard J. (2016): “Measuring Interest Rate Risk in the Life Insurance Sector: The U.S. and the U.K.”, The Economics, Regulation, and Systemic Risk of Insurance Markets, Oxford University Press Hufeld, F., Koijen, R., and Thimann, C. (2017): “The invisible service: The economics, regulation, and systemic risk of insurance markets”, VOX EU, CEPR International Association of Insurance Supervisors (2009): “Systemic Risk and the Insurance Sector”, Basel, Switzerland: IAIS International Association of Insurance Supervisors (2019): “Insurance Core Principles and Common Framework for the Supervision of Internationally Active Insurance Groups”, Basel, Switzerland: IAIS International Association of Insurance Supervisors (2020): “Register of Internationally Active Insurance Groups based on information publicly disclosed by group-wide supervisors”, Basel, Switzerland: IAIS International Association of Insurance Supervisors (2021): “Global Insurance Market Report, Covid- 19 Edition”, Basel, Switzerland: IAIS International Association of Insurance Supervisors (2021): “Register of Internationally Active Insurance Groups based on information publicly disclosed by group-wide supervisors”, Basel, Switzerland: IAIS International Financial Reporting Standards Foundation (2017), “IFRS Standards Effects Analysis: IFRS 17 Insurance Contracts”, London, UK: IFRS Foundation Kathryn L. Dewenter, and Leigh A. Riddick (2018): “What’s the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies”, Journal of Banking and Finance, 91 ,70–85 Kessler D., de Montchalin, A., and Thimann, C. (2016): “The Macroeconomic Role of Insurance”, The Economics, Regulation, and Systemic Risk of Insurance Markets, Oxford University Press Löfvendahl, G., and Yong, J. (2017): “Insurance supervisory strategies for a low interest rate environment”. Bank for International Settlements, Financial Stability Institute. Macroprudential Supervision Working Group (2021): “Application Paper on Macroprudential Supervision”, Basel, Switzerland: IAIS Möhlmann, A. (2021): “Interest rate risk of life insurers: Evidence from accounting data. Financial Management”, 50(2), 587-612. Monetary Authority of Singapore (2015), “Financial Stability Review”, Singapore: MAS, Macroprudential Surveillance Department Organisation for Economic Co-operation and Development (2011): “Global Insurance Market Trends”, Paris, France: OECD Organisation for Economic Co-operation and Development (2021): “Global Insurance Market Trends 2020”, Paris, France: OECD Stock, J. H., Watson, M. W. (2020), “Experiments and Quasi-Experiments”, Introduction to Econometrics (4th edition), Pearson Education Limited, global edition, 490-496. The Life Insurance Association of the Republic of China (2020), “Life Insurance Quarterly”, 196, Taipei, Taiwan: LIA-ROC The Life Insurance Association of the Republic of China (2021), “Life Insurance Quarterly”, 200, Taipei, Taiwan: LIA-ROC Viral V. Acharya, Yang Liu and Yunhui Zhao (2021). “Covid-19 containment measures and expected stock volatility: High-frequency evidence from selected advanced economies”, Covid Economics Vetted and Real-Time Papers, 79, 1–40 “Notice 133 Valuation and Capital Framework for Insurers”, Monetary Authority of Singapore (MAS), https://www.mas.gov.sg/regulation/notices/notice-133. Accessed 4 Oct, 2021. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81734 | - |
| dc.description.abstract | 長期低利率環境與保險業財務狀況和業務經營密切相關，為確保清償能力和維持金融穩定，全球金融危機之後的改革納入總體審慎監理並建立整體框架，以監測壽險業者對於低利率此共同風險之暴險情形。有別於由下而上的測試取向，本論文採用由上而下的股價報酬衡量取向，使用DID方法剔除整體股市和其他未觀察到的影響因素（以產險業者為對照組），進而瞭解壽險業利率風險之暴險情形。 實證結果發現，臺灣與新加坡的壽險業者（國際活躍保險集團）在低利率環境之下對於利率衝擊具敏感度，但低利率對於保險市場的短期影響是異質的；相較於臺灣，新加坡壽險業者之股票報酬波動程度較小。此外，Covid-19疫情衝擊下，只有在建構較短期間（半年）內的估計係數才具統計顯著性，可見疫情之下低利率的影響，就長期而言仍具不確定性。政策措施宜持續以總體審慎監理為重點，透過壓力測試或其他監理工具，探究壽險業者潛在的資產負債存續期間缺口問題。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-24T09:26:27Z (GMT). No. of bitstreams: 1 U0001-2610202100101600.pdf: 4754924 bytes, checksum: f9d496ce28f34659e80bd15db29dc139 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | Table of Contents 中文摘要 1 ABSTRACT 2 TABLE OF CONTENTS 3 LIST OF FIGURES 4 LIST OF TABLES 5 CHAPTER 1: INTRODUCTION 6 1.1 PURPOSE OF STUDY 6 1.2 DESCRIPTION OF TERMS 8 CHAPTER 2: LITERATURE REVIEW 10 2.1 GLOBAL SYSTEMIC IMPORTANCE OF THE INSURANCE SECTOR 10 2.2 UNCERTAINTY SHOCKS AND SENSITIVITY 11 2.3 PATTERNS OF LIFE INSURANCE MARKET: DURATION GAP 12 2.4 MEASURING INTEREST RATE RISK: TWO APPROACHES 13 2.5 REGULATORY REFORMS: MACROPRUDENTIAL SUPERVISION 15 CHAPTER 3: METHODOLOGY 18 3.1 DIFFERENCE-IN-DIFFERENCE (DID) 18 3.2 MODEL 20 CHAPTER 4: EMPIRICAL RESULTS 23 4.1 DATA 23 4.2 DESCRIPTION OF FINDINGS 30 CHAPTER 5: CONCLUSION AND SUGGESTION 36 BIBLIOGRAPHY 40 APPENDIX 43 LIFE INSURER 43 NON-LIFE INSURER 49 | |
| dc.language.iso | en | |
| dc.subject | 差異中差異 | zh_TW |
| dc.subject | 壽險業 | zh_TW |
| dc.subject | 利率風險 | zh_TW |
| dc.subject | life insurance sector | en |
| dc.subject | interest rate risk | en |
| dc.subject | Differences-In-Difference (DID) | en |
| dc.title | 臺灣與新加坡壽險業利率風險之暴險情形 | zh_TW |
| dc.title | The exposure to Interest Rate Risk in the Life Insurance Sector in Taiwan and Singapore | en |
| dc.date.schoolyear | 110-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王泓仁(Hsin-Tsai Liu),周冠男(Chih-Yang Tseng),陳達新 | |
| dc.subject.keyword | 壽險業,利率風險,差異中差異, | zh_TW |
| dc.subject.keyword | life insurance sector,interest rate risk,Differences-In-Difference (DID), | en |
| dc.relation.page | 56 | |
| dc.identifier.doi | 10.6342/NTU202104191 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2021-10-27 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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