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German bond markets and US monetary policy

Some thoughts from the perspective of the European life insurance industry

Der Markt für deutsche Staatsanleihen und die US-Geldpolitik

Gedanken aus der Sicht der Europäischen Lebensversicherungsbranche

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Zeitschrift für die gesamte Versicherungswissenschaft

Abstract

Low interest rates have been a major problem for the European life insurance industry. The implementation of Solvency II certainly has forced European life insurers to improve their risk management procedures and to buy long term bonds in order to handle the interest rate risk inherent to their liabilities. As a consequence, the industry meanwhile more or less seems to be able to cope with the problem of low interest rates. However, now the US central bank has started to hike rates. The Bank of Canada meanwhile has followed its southern neighbor. The changed monetary policy environment in North America might create new challenges for asset managers in the European life insurance industry. This paper provides some additional thoughts and empirical evidence about the linkages between US monetary policy and the European bond market employing techniques of time series analysis.

Zusammenfassung

Niedrige Zinsen stellen ein großes Problem für die Lebensversicherungswirtschaft in Europa dar. Die Umsetzung von Solvency II hat Unternehmen die Prozesse im Risikomanagement mittlerweile weiterentwickeln lassen und die Branche bewogen, die Zinsänderungsrisiken auf der Passivseite der Bilanzen besser zu kontrollieren. Damit sind die Lebensversicherer sicherlich in die Lage versetzt worden, mit dem aktuellen Niedrigzinsumfeld besser umzugehen. Allerdings hat die US-Notenbank inzwischen begonnen, ihre locker ausgerichtete Geldpolitik durch Leitzinsanhebungen langsam zu normalisieren. Die kanadische Zentralbank ist diesem Beispiel mittlerweile gefolgt. Das veränderte geldpolitische Umfeld in Nordamerika könnte nun neue Herausforderungen für die Kapitalanlage der Lebensversicherer in Europa heraufbeschwören. Diese Studie untersucht die Zusammenhänge zwischen US-Geldpolitik und dem europäischen Rentenmarkt mittels geeigneter Methoden der Zeitreihenanalyse.

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Authors and Affiliations

  1. Norddeutsche Landesbank (NORD/LB), Hannover, Germany

    Tobias Basse, Frederik Kunze & Bernd Krampen

  2. Touro College Berlin, Berlin, Germany

    Tobias Basse

  3. Kompetenzzentrum Versicherungswissenschaften, Hannover, Germany

    Christoph Schwarzbach

  4. Leibniz Universität Hannover, Hannover, Germany

    Christoph Schwarzbach

Authors
  1. Tobias Basse
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  2. Frederik Kunze
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  3. Bernd Krampen
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  4. Christoph Schwarzbach
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Correspondence to Christoph Schwarzbach.

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Basse, T., Kunze, F., Krampen, B. et al. German bond markets and US monetary policy. ZVersWiss 106, 265–276 (2017). https://doi.org/10.1007/s12297-017-0378-x

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