The Spillover Effect of Japan's Negative Interest Rate Policy on The Insurance Industry

• Main Authors: WANG,YUN-YA, 王筠雅
• Other Authors: LIU,HUI-LING
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/a85vk4

碩士 === 朝陽科技大學 === 保險金融管理系 === 107 === In the face of the Global Financial Crisis of 2008, the United States took the lead in implementing monetary easing to save the economy, and then Japanese implemented a negative interest rate policy. As a non-traditional monetary policy, the Japanese central bank will target the policy in 2016 in order to solve the economic climate. The interest rate is set to a negative value to stimulate the recovery of the economy. Because the banking industry and the insurance industry are more sensitive to interest rates than other industries, this study uses the Japanese insurance industry as an example to try to capture the spillover effect after the negative interest rate policy. In order to emphasize the effect of conditional amplitude spillover, this study uses the GARCH model with additional virtual variables for empirical research; and uses the TGARCH model for robustness analysis to explore the impact of negative interest rate policy implementation on mean and variance equation in Asia Pacific and non-Asia Pacific regions. influences. The study found that the implementation of the negative interest rate policy will have a positive impact on the average remuneration in the Asia-Pacific region and the non-Asia-Pacific region, and the effect of suppressing the volatility reflects the effect of the negative interest rate policy on the stock price. Not only that, but also has a strong spillover effect.