Data and Code for: Global Life Insurers during a Low Interest Rate Environment

Principal Investigator(s):  View help for Principal Investigator(s) Ralph Koijen, University of Chicago. Booth School of Business; Motohiro Yogo, Princeton University

Version:  View help for Version V2

Name File Type Size Last Modified
  Code 03/10/2022 04:16:PM
  Data 03/10/2022 04:08:PM
  Figures 03/10/2022 04:27:PM
README.pdf application/pdf 130.1 KB 07/07/2022 08:21:AM

Project Citation: 

Koijen, Ralph, and Yogo, Motohiro. Data and Code for: Global Life Insurers during a Low Interest Rate Environment. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-07-07. https://doi.org/10.3886/E164641V2

Project Description

Summary:  View help for Summary Life insurers’ business model has changed with the growth of insurance products with minimum return guarantees that are exposed to market and interest risks. The interest risk exposure of US and European insurers increased in the low interest rate environment after the global financial crisis and the European sovereign debt crisis, respectively.  The relative fragility of life insurers is highly persistent across the global financial crisis, the European sovereign debt crisis, and the COVID-19 crisis. European insurers with a higher share of liabilities with minimum return guarantees in 2016 had lower stock returns during the COVID-19 crisis.
Funding Sources:  View help for Funding Sources National Science Foundation (1727049)

Scope of Project

JEL Classification:  View help for JEL Classification
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G22 Insurance; Insurance Companies; Actuarial Studies
Geographic Coverage:  View help for Geographic Coverage United States, Europe
Time Period(s):  View help for Time Period(s) 1/2005 – 12/2019
Universe:  View help for Universe US life insurers
European insurers
Data Type(s):  View help for Data Type(s) administrative records data; event/transaction data

Methodology

Data Source:  View help for Data Source Eurostat, 2005-2019
Morningstar Direct, 2005-2019
Best's Financial Suite: Solvency II, 2016
Compustat Global, 2005-2019

Unit(s) of Observation:  View help for Unit(s) of Observation Year, Insurer
Geographic Unit:  View help for Geographic Unit United States and Europe

Related Publications

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Published Versions

V2 [2022-07-07]

V1 [2022-04-08]

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