Inter-industry contagion between UK life insurers and UK banks
Subtitle: an event study
By: Marco Stringa and Allan Monks.
Contributors: Monks, Allan.; Bank of England.
Series: Working paper -- no. 325; Working paper (Bank of England : Online) -- no. 325.
Publisher: Bank of England
Published: 2007
Place of publication: London
Language: eng
Format: Electronic resource
Description: "Understanding interlinkages in a financial system is an integral part of the assessment of its stability.  This paper employs an event study technique to assess the significance of interlinkages from the UK  life insurance sector to the UK banking system in times of stress. The paper uses a thorough  methodology to enhance standard event study techniques by adjusting for autocorrelation and  heteroskedasticity when calculating the abnormal returns' forecast errors and for the offsetting  effects in cumulative abnormal returns. We take an original approach by introducing the use of  trading volumes to detect significant reactions not captured by the use of equity prices.  The paper shows evidence of interlinkages from the UK life insurance to the UK banking sector, and  concludes that contagion is driven by banks' ownership of life insurance assets and only occurs  during events that have hit the life insurance sector as a whole."--Bank of England web site.
Notes: Title from PDF file as viewed on Jan. 28, 2008.

Includes bibliographical references.

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Mode of access: World Wide Web.