Applied and Computational Mathematics

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Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance

Received: 26 May 2015    Accepted: 27 May 2015    Published: 10 June 2015
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Abstract

This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions.

DOI 10.11648/j.acm.s.2016050101.12
Published in Applied and Computational Mathematics (Volume 5, Issue 1-1, February 2016)

This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics

Page(s) 14-20
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Insurance, Demand Motives, Asset Structure, Private Households, Interest Rate

References
[1] W. Ruprecht and M. Wolgast, “Die Märkte für Altersvorsorge in Deutschland, Eine Analyse bis 2020” in Gesamtverband der Deutschen Versicherungswirtschaft e.V., Eds., Schriftenreihe des Ausschusses Volkswirtschaft, No. 23, 2004.
[2] Deutsche Bundesbank, Makroökonomische Zeitreihen: Finanzierungsrechnung der privaten Haushalte nach ESVG 1995, 2014. URL: http://www.bundesbank.de/Navigation/DE/Statistiken/Zeitreihen_Datenbanken/Makrooekonomische_Zeitreihen/its_list_node.html?listId=www_v39_phgvx.
[3] H. Bardt and M. Grömling, “Sparen in Deutschland und den USA,“ iw-trends, No. 3, 2003.
[4] Verband der Privaten Bausparkassen e.V., „Sparklima—Das Verhalten der Bundesbürger“, 2010. URL: http://www.bausparkassen.de/index.php?id=54.
[5] A. Müller, “Erklärung der Lebensversicherungsnachfrage anhand ökonomischer und psychologischer Einflussfaktoren,” in Müller-Lutz and Helten, Eds., Beiträge zu wirtschaftswissenschaftlichen Problemen der Versicherung, Band 40, Karlsruhe: VVW Verlag, 1998.
[6] S. Wähling, J. Trumpfheller, and J.M. Graf von der Schulenburg, “Die Nachfragemotive nach Kapitallebensversicherungen und ihre Struktur,” Versicherungswirtschaft, Vol. 48, No. 3, 1993, pp. 173–180.
[7] W.W. Kurtenbach, K. Kühlmann, and G. Kässer-Pawelka, „Versicherungsmarketing - Eine praxisorientierte Einführung in das Marketing für Versicherungen und ergänzende Finanzdienstleistungen“, 3. Frankfurt am Main: Auflage, Fritz Knapp Verlag, 1992.
[8] J. Knospe, “Bundesbürger favorisieren Versicherungen,” Versicherungswirtschaft, Vol. 58, No. 14, 2003, pp. 1082–1083.
[9] N. Sauter, “Das schwache Pflänzchen Aktienkultur,” Working Paper 139, Economic Research & Corporate Development, Allianz AG, 2010.
[10] Deutsche Bundesbank Ergebnisse der gesamtwirtschaftlichen Finanzierungsrechnung für Deutschland 1991 bis 2009, Statistische Sonderveröffentlichung 4, Frankfurt am Main: Verlag der Deutschen Bundesbank, 2010.
[11] Regulation (EC) No. 2223/96 of 25 June 1996 on the European system of national and regional accounts in the Community.
[12] R. Gerke and T. Werner, “Monetäre Schocks in VAR Modellen,” Arbeitspapiere des Instituts für Volkswirtschaftslehre, No. 106, Technische Universität Darmstadt, 2001.
[13] K. Neusser, Zeitreihenanalyse in den Wirtschaftswissenschaften, 2. Aktualisierte Auflage, Wiesbaden: Vieweg und Teubner Verlag, 2009.
[14] R. Davidson and J. MacKinnon, Estimation and Inference in Econometrics, London: Oxford University Press, 1993.
[15] H. Rinne and K. Specht, Zeitreihen—Statistische Modellierung, Schätzung und Prognose, München: Verlag Vahlen, 2002.
[16] A. Schweinberger, “Ein VAR-Modell für den Zusammenhang zwischen Öffentlichen Ausgaben und Wirtschaftswachstum in Deutschland,” Arbeitspapier No. 30, Mainz: Institut für Statistik und Ökonometrie, 2004.
[17] W.W. Charemza and D.F. Deadman, New Directions in Econometric Practice, 2nd Edition, Cheltenham: Edward Elgar Publishing Limited, 1997.
[18] D. Dar and C. Dodds, “Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the UK,” The Journal of Risk and Insurance, Vol. 56, No. 3, 1989, pp. 415-433.
[19] C. Cottin, V. Heinke, W. Homann and C. Sander, “Empirische Analyse des Einflusses der Überschussbeteiligung auf Neugeschäft und Storno,“ Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 96, No. 3, 2007, pp. 339-373.
[20] D. Kiesenbauer, “Main Determinants of Lapse in the German Life Insurance Industry, 2011. URL: https://www.uni-ulm.de/fileadmin/website_uni_ulm/mawi2/forschung/preprint-server/2011/1103_lapse.pdf.
Author Information
  • Center for Risk and Insurance, Hannover, Germany

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    Tim Linderkamp. (2015). Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Applied and Computational Mathematics, 5(1-1), 14-20. https://doi.org/10.11648/j.acm.s.2016050101.12

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    Tim Linderkamp. Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Appl. Comput. Math. 2015, 5(1-1), 14-20. doi: 10.11648/j.acm.s.2016050101.12

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    AMA Style

    Tim Linderkamp. Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance. Appl Comput Math. 2015;5(1-1):14-20. doi: 10.11648/j.acm.s.2016050101.12

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  • @article{10.11648/j.acm.s.2016050101.12,
      author = {Tim Linderkamp},
      title = {Impact of Interest Rate Shocks on the Asset Structure of Private Households in Germany with Particular Reference to Insurance},
      journal = {Applied and Computational Mathematics},
      volume = {5},
      number = {1-1},
      pages = {14-20},
      doi = {10.11648/j.acm.s.2016050101.12},
      url = {https://doi.org/10.11648/j.acm.s.2016050101.12},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.acm.s.2016050101.12},
      abstract = {This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions.},
     year = {2015}
    }
    

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    AB  - This paper investigates the portfolio structure of private households in Germany from 1994 to 2014. We focus on the question of how sensitively private households react to a shock in the interest rate level. We use a vector autoregressive model and analyze the corresponding impulse-response functions. The data set is provided by Deutsche Bundesbank. Our hypothesis that the asset class Insurance reacts less sensitively to changes in the interest rate level than other asset classes cannot be confirmed. In general, the results show almost no reactions in the portfolio proportions after an interest rate shock. From our results, it appears that private households in Germany clearly do not integrate interest rate information into their portfolio allocation decisions.
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