臺灣博碩士論文加值系統

本文主要探討保險公司是否存在最適流動性。如果其存在，那麼保險公司應該如何且在什麼情況下做調整？我們採用美國保險監理官協會(NAIC) 2006至2010年的產物保險公司資料及引用Byoun (2008) 和Dang, Garrett, and Nguyen (2010) 所提出的部份調整模型來檢視所欲討論的議題。實證結果發現保險公司的確存在最適流動性，並且隨著時間調整至最適水準，此與Venkiteshwaran (2011)的結果一致。再者，低於目標流動性的保險公司其調整速度較高於目標流動性的保險公司快，而此結果支持財務壓力假說。然而，我們發現高槓桿和低槓桿的保險公司，在不同流動性的定義下，其調整速度支持不同的假說。

In this paper we study whether the insurer’s optimal liquidity exists and how and when insurer adjusts to optimal liquidity if it exists. We employ a pooled time-series and cross-sectional data for U.S. property-liability insurance industry reported from the National Association of Insurance Commissioners (NAIC) between the years from 2006 to 2010 and implement a partial adjustment model, which is proposed by Byoun (2008) and Dang, Garrett, and Nguyen (2010), to examine our main issues. The empirical results indicate that insurers tend to have a targeted liquidity and adjust toward their target liquidity over time, which is consistent to Venkiteshwaran (2011). In addition, asymmetric partial adjustment does exist for insurers with above-target or below-target liquidity as well as with high- or low-leverage. The evidence indicates that the adjustment speed of below target liquidity is faster than above-target liquidity, which is consistent to the financial pressure hypothesis. Nevertheless, the speeds of partial adjustment for insurers with high- and low-leverage support distinct hypotheses in terms of different liquidity measurements.

摘要 Ⅰ
Abstract Ⅱ
誌謝 Ⅲ
Contents Ⅳ
List of Tables Ⅴ
List of Figures Ⅵ
1. Introduction 1
2. Literature Review 3
3. Empirical Models and Hypotheses Development 5
3.1 Symmetric Partial Adjustment Model 6
3.2 Asymmetric Partial Adjustment Model7
3.3 Asymmetric Partial Adjustment Model with Leverage 8
3.4 Asymmetric Partial Adjustment Model with Deviations from Target Liquidity and Leverage 9
3.4.1 Asymmetric Adjustments toward Target Liquidity – Firms with Over Liquidity 10
3.4.2 Asymmetric Adjustments toward Target Liquidity – Firms with Under Liquidity 11
3.4.3 Asymmetric Adjustments toward Target Liquidity – Firms with High or Low Leverage 11
4.Variables Descriptions and Data 12
4.1 Variables Descriptions 12
4.2 Data and Sample Selection 14
5. Empirical results 15
6. Conclusion 18
References 20

List of Tables
Table1. Summary Statistics………...………………………………………..…24
Table2. Variable Estimates on Determinants of Target Liquidity Ratio……….25
Table3. Insurer Deviation from Their Target Liquidity………….…………….26
Table4. Estimation Results of Partial Adjustment Models (OLS)……………...27
Table5. Estimation Results of Partial Adjustment Models (MEM)…………....28

List of Figures
Figure1. Actual and Target Liquidity Ratios of liq_cia………………...………29
Figure2. Actual and Target Liquidity Ratios of liq_csia…………….……….…29
Figure3. Actual and Target Liquidity Ratios of liq_cfa…………………...……30

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