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利率是影响保险公司经营行为和经营结果的外生变量。本文使用GARCH-M模型,以我国上市保险公司为样本,对保险公司股票收益率的利率敏感性进行实证研究。结果表明,我国保险公司股票收益率具有较高的利率敏感性,股票收益率与长期利率负相关;利率变化所引起的股票收益率波动产生了跨期权衡效应;股票收益率的利率敏感度具有时变性,会随着货币政策的变化而变化。
Interest rates are exogenous variables that affect the operating behavior and operating results of insurance companies. This paper uses the GARCH-M model to take the listed insurance company as a sample to make an empirical study on the interest rate sensitivity of the insurance company’s stock return. The result shows that the return rate of stock in China’s insurance company has higher interest rate sensitivity, and the return rate of stock is negatively correlated with the long-term interest rate. The fluctuation of stock return rate caused by the change of interest rate has a cross-term tradeoff effect. The interest rate sensitivity of stock return has Time-dependent, will change with changes in monetary policy.