Abstract
The current financial crisis has reduced government bond yields in Germany, the U.S., the UK and other countries. Low interest rates do create some problems for the European insurance industry. Especially life insurers seem to face some difficulties. The empirical results reported in this paper give support to the point of view that the relationship among German long-term interest rates, consumer price inflation and industrial production has changed significantly in the year 2009. Turning to the important question under which circumstances an increase to interest rates is likely to occur the empirical evidence reported in this paper does indicate that higher inflation rates should be a cause for rising bond yields.
Zusammenfassung
Die Finanzmarktkrise hat das Zinsniveau am Staatsanleihenmarkt in Deutschland, den USA, dem Vereinigten Königreich und in anderen Ländern fallen lassen. Die niedrigen Renditen lösen mittlerweile Probleme in der europäischen Versicherungswirtschaft aus. Dies gilt insbesondere für Lebensversicherer. Die in dieser Studie präsentierten Ergebnisse von empirischen Untersuchungen zeigen einen Strukturbruch im Zusammenhang zwischen langfristigen Kapitalmarktzinsen, Konsumentenpreisen und der Industrieproduktion in Deutschland. Zudem gibt es klare Hinweise, die andeuten, dass für wieder steigende Renditen auf anziehende Inflationsraten gehofft werden sollte.
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The paper is based on the lecture at the Jahrestagung des Deutschen Vereins für Versicherungswissenschaft e. V. 2013 in Berlin.
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Basse, T., Friedrich, M., Kleffner, A. et al. Are interest rates too low? Empirical evidence and implications for German life insurers. ZVersWiss 103, 31–43 (2014). https://doi.org/10.1007/s12297-013-0256-0
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DOI: https://doi.org/10.1007/s12297-013-0256-0