Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320029 
Year of Publication: 
2025
Series/Report no.: 
CASMEF Working Paper Series No. WP 2025/03
Publisher: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
Abstract: 
This paper investigates the dynamic interdependencies between the European insurance sector and key financial markets-equity, bond, and banking-by extending the Generalized Forecast Error Variance Decomposition framework to a broad set of performance and risk indicators. Our empirical analysis, based on a comprehensive dataset spanning January 2000 to October 2024, shows that the insurance market is not a passive receiver of external shocks but an active conduit in the propagation of systemic risk, particularly during periods of financial stress such as the subprime crisis, the European sovereign debt crisis, and the COVID-19 pandemic. Significant heterogeneity is observed across subsectors, with diversified multiline insurers and reinsurance playing key roles in shock transmission. Moreover, our granular company-level analysis reveals clusters of systemically central insurance companies, underscoring the presence of a core group that consistently exhibits high interconnectivity and influence in risk propagation.
Subjects: 
insurance
systemic risk
GEFVD
CAViaR
CARES
Document Type: 
Working Paper

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