اثر نا اطميناني سياست پولي بر حق بيمه در ايران

The Effect of Monetary Policy Uncertainty on Insurance Premiums in Iran

هدف اصلي مقاله حاضر بررسي اثر نا اطميناني سياست پولي و درآمد سرانه بر حق بيمه در ايران است. تئوري ­هاي اقتصادي به­ وضوح اثر نااطميناني سياست پولي را بر حق بيمه نشان نمي­ دهند، لذا مسئله مذكور اساساً يك مسئله تجربي است. از­اين­رو، با ارائه يك مدل تجربي، اثر نامتقارن نااطميناني سياست پولي بر حق بيمه سرانه در ايران با استفاده از الگوي خودتوضيحي با وقفه­ هاي توزيعي غيرخطي (NARDL) در بازه زماني 1350-1397 آزمون گرديد. براي اين منظور، ابتدا نا اطميناني سياست پولي با استفاده از الگوي EGARCH استخراج شد و به تغييرات مثبت و منفي تجزيه گرديد. نتايج حاصل از برآورد ضرايب بلندمدت تغييرات مثبت و منفي نا اطميناني سياست پولي بر حق بيمه سرانه نشان مي­ دهد هر دو ضريب بلندمدت نامتقارن، منفي و معني­ دار هستند. همچنين، در بلندمدت رابطه مثبت و معني­ داري بين درآمد سرانه و حق بيمه سرانه كل وجود دارد. در كوتاه ­مدت رابطه معني ­داري بين تغييرات مثبت نا اطميناني و حق بيمه سرانه در ايران وجود ندارد، اما با يك وقفه، رابطه مثبتي بين اين دو وجود خواهد داشت. درعين‌حال، در كوتاه ­مدت رابطه منفي و معني ­داري بين تغييرات منفي نا اطميناني و حق بيمه سرانه وجود دارد، اما با يك وقفه، اين رابطه معني ­دار نيست.

1- Introduction The relationship between the banking and the real sector of the economy has long been considered by economists. The banking sector as the main gateway to monetary policy and the real sector of the economy as the main gateway to the fiscal policy has a significant impact on the country's economic balance. The more coordination between the two sectors, the higher the economic growth. Given the relationship between the performance of monetary policy and the macro variables of the real sector of the economy, any uncertainty in the performance of monetary policy can have adverse effects on the real sector of the economy. One of the factors that monetary policy uncertainty can affect is insurance premiums. Since premium rates are usually based on projected investment income and expected losses (which are themselves exposed to business cycles), it is reasonable to expect a significant correlation between insurance premiums and macroeconomics. Therefore, this paper examines the effect of monetary policy uncertainty on insurance premiums in Iran. 2- Theoretical Framework Economic theories do not clearly show the effects of monetary policy uncertainty on insurance premiums. Therefore, this is essentially an empirical problem. In general, many economic studies agree that economic policy uncertainty plays an important role in shaping real economic activities such as business cycles, inflation, investment, employment, and economic growth (Bloom (2019); Julio & Yook (2012); Jones & Olson (2013); Kang et al. (2014); Wang et al. (2014); Gulen & Ion (2016); Bloom et al. (2018)). For example, Baker et al. (2016) by constructing an index to measure economic policy uncertainty, found that this index harms investment, production, and employment in the United States. The key point that can be made here is that the uncertainty of economic policy has a real effect on the behavior of buying insurance if it has a significant effect on these economic activities. From the perspective of risk aversion behavior, political uncertainty is one of the basic components of insurance premiums to reduce risk. Park et al. (2002) believe that people's risk and uncertainty depend primarily on their understanding of their socio-political environment. Beck & Webb (2013) also believe that political instability may hinder the development of the insurance market, as this affects the economic horizons of potential buyers and suppliers of life insurance products. 3- Methodology Following Balcilar et al. (2018) we have presented an empirical model to test the asymmetric effects of monetary policy uncertainty on per capita insurance premiums in Iran using the Non-Linear Autoregressive Distributed Lag (NARDL) model for 1971-2018. To measure the uncertainty of monetary policy, there are various indicators such as standard deviation of the moving average, deviation from the trend, and autoregressive conditional heteroskedasticity. Also, studies show that there is no theoretical basis for the preference of one indicator to measure real money supply fluctuations (as a measure of monetary policy uncertainty) over another. Therefore in this study, the monetary policy uncertainty was extracted using the EGARCH model and divided into positive and negative changes. 4- Results & Discussion The results of the estimation of long-term coefficients for positive and negative changes in monetary policy uncertainty on per capita insurance premiums showed that both long-term coefficients are asymmetric, negative, and significant. Also, there is a positive and significant relationship between per capita income and total per capita insurance premiums in the long run. In the short term, there is no significant relationship between positive uncertainty changes and per capita insurance premiums in Iran, but with a time lag, this relationship is positive. At the same time, there is a negative and significant relationship between negative uncertainty changes and per capita insurance premiums, but with a time lag, this relationship is not significant. 5- Conclusions & Suggestions The negative impact of uncertainty on insurance premiums suggests that in times of high economic uncertainty, people seek to reduce costs and maintain the value of their assets in the housing, foreign exchange, and gold markets, so their demand for Insurance is reduced. In conditions of economic stability, due to the uncertainty of the life expectancy of the head of the household and as a result of the uncertainty of income, the demand for insurance has increased, which increases the per capita insurance premium. Therefore, given the negative impact of monetary policy uncertainty on insurance premiums, the central bank's relationship with the financial markets must be well managed. The use of communication strategies can become a central bank policy tool in monetary policy. Proper management of these communication strategies can improve the effectiveness of the financial sector by reducing uncertainty in monetary policy. In other words, policymakers must consider the effects of these decisions on financial markets when formulating monetary policy at the macro level.