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@article{ART002443751},
author={Jintae Hwang and Daigyo Seo},
title={Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2019},
volume={30},
number={1},
pages={3-38},
doi={10.23842/jif.2019.30.1.001}

TY - JOUR
AU - Jintae Hwang
AU - Daigyo Seo
TI - Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance
JO - Journal of Insurance and Finance
PY - 2019
VL - 30
IS - 1
PB - Korea Insurance Research Institute
SP - 3
EP - 38
SN - 2384-3209
AB - Using Markov switching models as well as a standard cointegration equation, we examine the long-run relationship between the lapse rate of whole life insurance and macroeconomics variables-interest rate, unemployment, business, and inflation. Focusing on the three-regime switching model used in this paper, we find that the lapse rate of whole life insurance has a negative long-run relationship with business, whereas it has a positive long-run relationship with inflation, consistent with the predictions of the emergency fund and inflation hypotheses. However, the interest rate hypothesis is not supported by the estimation result that the lapse rate has a moderate negative long-run relationship with the interest rate.
KW - Lapse rate of whole life insurance;Cointegration;Markov switching model;Macroeconomic variables
DO - 10.23842/jif.2019.30.1.001
ER -

Jintae Hwang and Daigyo Seo. (2019). Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance. Journal of Insurance and Finance, 30(1), 3-38.

Jintae Hwang and Daigyo Seo. 2019, "Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance", Journal of Insurance and Finance, vol.30, no.1 pp.3-38. Available from: doi:10.23842/jif.2019.30.1.001

Jintae Hwang, Daigyo Seo "Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance" Journal of Insurance and Finance 30.1 pp.3-38 (2019) : 3.

Jintae Hwang, Daigyo Seo. Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance. 2019; 30(1), 3-38. Available from: doi:10.23842/jif.2019.30.1.001

Jintae Hwang and Daigyo Seo. "Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance" Journal of Insurance and Finance 30, no.1 (2019) : 3-38.doi: 10.23842/jif.2019.30.1.001

Jintae Hwang; Daigyo Seo. Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance. Journal of Insurance and Finance, 30(1), 3-38. doi: 10.23842/jif.2019.30.1.001

Jintae Hwang; Daigyo Seo. Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance. Journal of Insurance and Finance. 2019; 30(1) 3-38. doi: 10.23842/jif.2019.30.1.001

Jintae Hwang, Daigyo Seo. Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance. 2019; 30(1), 3-38. Available from: doi:10.23842/jif.2019.30.1.001

Jintae Hwang and Daigyo Seo. "Examining the Long-Run Relationship Between Macroeconomic Variables and the Lapse Rates of Whole Life Insurance" Journal of Insurance and Finance 30, no.1 (2019) : 3-38.doi: 10.23842/jif.2019.30.1.001