臺灣總體經濟變數與產險保費收入增減率之領先落後關係

在風險規劃中，爲自身的財產購買保險，以規避其風險，在現代來說已爲不可或缺的趨勢。本文以產險商品之購買意願爲研究之出發點，探討在物價、利率等總體經濟變數波動之下，是否會影響到產險商品之購買意願，及其影響之情形，本文採用產險保費收入增減率作爲購買意願的代表。本文根據Johansen共整合分析和向量誤差修正模型研究產險保費收入增減率與物價、利率之間的關聯性，利用領先落後關係檢定探討其因果關係，並進一步預測其未來走勢，研究期間自1985年至2006年，頻率爲年資料。實證結果顯示，利用Johansen共整合分析後，發現存在共整合關係，消費者物價指數對產險保費收入增減率具有正向的影響，而重貼現率與產險保費收入增減率呈反向關係。再以向量誤差修正模型進行分析，由領先落後關係檢定查驗出物價及利率等總體經濟變將領先產險保費收入增減率。

關鍵字

總體經濟變數；產險保費收入增減率；共整合檢定；領先落後關係檢定

並列摘要

In the risk programming, it is an inevitable trend in the present day to purchase insurance for oneself to avoid risks. This paper begins with property insurance product's purchase intention. The researcher examines whether general economy variations, such as price and interest rate, have an effect on property insurance product's purchase intention, and the situation of such an effect. In this paper, the research variable is property insurance income rate. Johansen's cointegration technique and vector error correcting model were employed to investigate the relationship between property insurance income rate, price and interest rate. The test for the lead-lag relationship was used to determine the causal structure. The yearly data employed in this research covers the period from 1985 and 2006. Using Johansen's cointegration technique and vector error correcting model, we found that there was a cointegration relationship. It showed that there was a positive effect between consumer price index and property insurance income rate, while a negative effect was found between rediscount rate and property insurance income rate. The test for the lead-lag relationship showed that wholesale price index, consumer price index and rediscount rate caused property insurance income rate.