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題名:保險發展與經濟成長關係之再探討 - 分量迴歸模型應用
作者:林姿伶
作者(外文):LIN, TZU-LING
校院名稱:逢甲大學
系所名稱:金融博士學位學程
指導教授:張倉耀
學位類別:博士
出版日期:2018
主題關鍵詞:保險市場經濟成長分量因果檢定格蘭傑因果關係檢定分量共整合迴歸Insurance MarketGross Domestic Product (GDP)Quantiles Cointegration RegressionGranger Causality TestQuantiles Causality Test
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本文為探討保險市場發展與經濟成長之間的長期均衡及短期因果關係,研究國家包括七大工業國(Group of 7, G7),其樣本期間自1980至2014年。本文將保險市場發展劃分為壽險、產險及總保險,分別檢定保險密度、保險滲透率及保險保費收入。本文不僅考慮保險需求及經濟成長本文不僅考慮保險需求及經濟成長長期關係也關注短期因果關係且同時也進行探討兩個相互競爭的假說:即供給領先及需求追隨。
就長期關係方面,分別採用傳統二階段共整合檢定及分量共整合檢定,檢驗變數之間的長期共整合關係,以驗證保險市場發展與總體經濟成長兩變數間是否存有長期均衡關係。研究顯示,保險發展與經濟成長是存有共整合關係,表示保險發展與經濟成長具有長期均衡關係。
就短期因果關係方面,分別利用因果關係檢定及分量迴歸檢定以驗證保險需求與經濟成長之間短期因果關係。研究發現,短期因果關係則顯示短期動態調整呈現多元形態;其中包含單向、雙向及相互獨立等因果關係方向。
保險在金融領域扮演一個很重要角色,但它常常被忽略在金融發展與經濟增長的文獻中。本文突破以往研究方法採用分量迴歸模型分析經濟成長與保險發展之間的關係,以彌補先前文獻探討保險相關活動不足之處。
This study examines the long-run equilibrium and short-term causality between insurance market development and economic growth. The study group includes the seven major industrial countries (Group of 7, G7). The sample period is from 1980 to 2014. The study divides the development of the insurance market into life insurance, property insurance, and total insurance. It examines insurance density, insurance penetration and insurance premium income in Direct US Dollars. This study not only considers the long-term relationship between insurance demand and gross domestic product (GDP) but also focuses on short-term cause-and-effect relationships. It also discusses two competing hypotheses: supply-leading and demand-following.
As regards long-term relationships, the traditional two-stage cointegration test and quantiles cointegration test are used to test the long-term cointegration relationship between variables to verify whether there is a long-term equilibrium relationship between the insurance market development and the overall economic growth. The study shows that there is a cointegration relationship between insurance development and gross domestic product, which means that there is a long-term equilibrium relationship between insurance development and economic growth.
For short-term causality, the Granger causality test and the regression test are used to verify the short-term causal relationship between insurance demand and economic growth. The study found that short-term causality shows that short-term dynamic adjustments take on multiple forms, include one-way, two-way and independence and other directions of causality.
Insurance plays a very important role in the financial research field, but it is often overlooked on financial development and economic growth in the literature. This study break through previous research methods and uses a quantiles regression model to analyze the relationship between economic growth and insurance development to make up the insufficiency for previous literature on insurance-related activities.
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