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@article{ART001435546},
author={최영목 and 황진태},
title={The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2010},
volume={21},
number={1},
pages={3-35}

TY - JOUR
AU - 최영목
AU - 황진태
TI - The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies
JO - Journal of Insurance and Finance
PY - 2010
VL - 21
IS - 1
PB - Korea Insurance Research Institute
SP - 3
EP - 35
SN - 2384-3209
AB - This paper shows how market rates of interest would affect rates of return on the investment of life insurance companies. To analyze the effects, we include interest rates, rates of return on stocks, and each volatility in the regression model for independent variables with rates of return on assets for a dependent variable using a partial adjustment model. We summarize the results as follows: First, the interest rates have a statistically significant and positive relationship with the rates of return on investment for both life insurance industry and three classes of life insurance companies. This result seems to be due mainly to a positive relationship between the interest rates and the rates of return on loans and short-term securities. Second, the volatility of interest rates is negatively related to the rates of return on investment for small, medium and foreign companies, while positively related to those for large ones. Third, the rates of return on stocks and their volatility are positively related to the rates of return on investment, but the effects appear to be negligible relative to the market interest rates. Finally, the speed of adjustment estimated for small and medium companies is relatively high and the maturity of asset portfolios is short.
KW - Dynamic Panel Regression Model;Interest Rate Risk;Partial Adjustment Model;Rates of Return on Investment
DO -
UR -
ER -

최영목 and 황진태. (2010). The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies. Journal of Insurance and Finance, 21(1), 3-35.

최영목 and 황진태. 2010, "The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies", Journal of Insurance and Finance, vol.21, no.1 pp.3-35.

최영목, 황진태 "The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies" Journal of Insurance and Finance 21.1 pp.3-35 (2010) : 3.

최영목, 황진태. The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies. 2010; 21(1), 3-35.

최영목 and 황진태. "The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies" Journal of Insurance and Finance 21, no.1 (2010) : 3-35.

최영목; 황진태. The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies. Journal of Insurance and Finance, 21(1), 3-35.

최영목; 황진태. The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies. Journal of Insurance and Finance. 2010; 21(1) 3-35.

최영목, 황진태. The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies. 2010; 21(1), 3-35.

최영목 and 황진태. "The Effects of Market Interest Rates on the Rates of Return on Investment of Life Insurance Companies" Journal of Insurance and Finance 21, no.1 (2010) : 3-35.