| With the rapid development of insurance market,the relationship between insurance development and macroeconomic growth has become a hot topic.However,what is out of proportion with the development of China's insurance market is that insurance is listed as one of the four financial pillar industries,together with banking,securities and trust.Whether the insurance industry has a systematic impact on the macro economy has not been unanimously recognized by the academic community.Even in the early stage of insurance,Swiss Re scholars found that there was no systemic impact on the macro economy in the non-life insurance industry.Up to now,whether the fluctuation of insurance development is in accordance with the cyclical fluctuation of the economy is still one of the topics debated in the academic circle.In March 2012,the China insurance regulatory commission discuss the second generation of Solvency regulation System of insurance industry(Namely China Risk Oriented Solvency System,C-ROSS)construction,then in early 2012 released by the China insurance regulatory commission(Circ).At the same time,they consider introducing counter-cyclical macro-prudential framework of insurance regulatory mechanism.Circ formally implemented C-ROSS in 2016,and the insurance company solvency regulation no.2: minimum capital "made clear that the insurance company need for countercyclical regulation of additional capital,but the specific implementation details have not been set.Therefore,the mechanism of countercyclical supervision and additional capital provision of insurance companies needs to be improved.In order to study the countercyclical regulation of the insurance industry,what is the procyclical mechanism of the insurance industry? Is there a procyclical phenomenon in the insurance industry? If there is procyclical problem,how does the insurance regulatory department construct the counter-cyclical regulatory intermediary index? And how to design a countercyclical regulatory scheme for the insurance industry?In order to solve the above problems,the research ideas of this paper are as follows: combing the relevant literature and analyzing the actual empirical data to find and put forward the problem that there may be pro-cyclical phenomenon in China's insurance industry;Then,based on the theory of procyclical development of financial industry,the internal mechanism of procyclical development of insurance industry is clarified.Secondly,an empirical model is constructed based on the correlation between insurance industry and macro-economy to test whether the insurance industry is pro-cyclical,so as to determine the necessity of anti-cyclical supervision of the insurance industry.Thirdly,find and determine the intermediary index of counter-cyclical supervision,and design the counter-cyclical additional capital plan and release for non-life insurance companies and life insurance companies.Finally,based on the research foundation of the countercyclical regulation of the insurance industry,some Suggestions and countermeasures are put forward for the macro-regulatory decision-makers.According to the above research ideas,the main research contents of this paper are as follows: first,clarify the internal mechanism of procyclicality of the insurance industry based on the existing research literature.Second,due to the different stages of insurance may be concerned with the macroeconomic fluctuations pro-cyclical differences between,so based on time-varying Angle,in the insurance industry and macroeconomic sample data to construct the time-varying parameter model(TVP-VAR)study,the development level of both non-life insurance and life insurance all have the economic cycle,at the same time the potential solvency risk level there is also a suitable economic cycle characteristics.Third,with reference to the Basel agreement ?,variable "hook" design ideas,build insurance counter-cyclical supervision index system of potential mediation;Then the dynamic time difference correlation analysis based on the time-varying Copula model,combined with KLR signal analysis to test the economic warning effect of potential intermediary indicators,and finally determine the insurance countercyclical intermediary indicators.Fourth,based on the Markov district system transfer(MS)model to identify the different development zones in the non-life insurance and life insurance industries,the final design of discrete and smooth insurance countercyclical additional capital withdrawal and release scheme.Fifth,combined with the insurance industry pro-cyclical theory and counter-cyclical regulatory scheme,make a summary and put forward relevant Suggestions.This paper consists of eight chapters,and the specific structure design is as follows:Chapter 1: Introduction.This chapter mainly introduces the background of the topic,the significance of the research,the research status at home and abroad,the technical route and research methods,and the possible innovation points and shortcomings of the papers.The literature review mainly focuses on the pro-cyclical issues of the financial industry,the counter-cyclical regulatory mechanism and the pro-cyclical and counter-cyclical regulatory mechanism of the insurance industry.It reviews the relevant domestic and foreign literature and further summarizes and reviews the relevant studies.Chapter two: Concept definition and related theoretical basis.This chapter first defines the relevant concepts of procyclicality,intermediation index,additional capital and counter-cyclical regulation of the insurance industry.Then,on the base of underinvestment,solvency supervision system,fair value accounting system and other aspects,the potential mechanism of pro-cyclical action of the insurance industry and the importance of counter-cyclical supervision are sorted out.Chapter three: relevance development of between China's insurance industry and macroeconomic.Based on the analysis of the common development trend of non-life insurance industry,life insurance industry,insurance capital investment and macro economy,this chapter finds that there exists the phenomenon of pro-economic cycle development in the insurance industry,especially during the financial crisis and after the macro economy enters the new normal,the phenomenon of pro-economic cycle development becomes more and more obvious.Chapter four: the empirical test of pro-cyclical development and pro-cyclical risk of China's insurance industry.This chapter tests the procyclicality of the insurance industry based on the micro and macro-point of views.Firstly,based on the financial samples of insurance companies from 2010 to 2018 and GMM estimation,there is procyclicality in China's insurance industry.Then,based on the macro-perspective,the paper studies the dynamic evolution path between the development of insurance industry and macro-economic indicators,and studies the pro-cyclical development and pro-cyclical risk of insurance industry through the time-varying impulse response.Based on the macro perspective,this chapter selects the monthly data from 2005 to 2018 to study the procyclicality of the non-life insurance industry and the life insurance industry respectively.On the one hand,it studies the procyclical characteristics of the development level of the insurance market based on the insurance development index,on the other hand,by constructing the insurance risk pressure index,this paper studies the pro-business periodicity of non-life insurance and life insurance payment risk respectively.According to the time-varying parameter model,the development level of both non-life insurance and life insurance has the characteristics of pro-business cycle,and the potential repayment risk level also has the characteristics of pro-business cycle,and with the passage of time,the intensity of pro-business cycle development shows a gradually increasing trend of evolution.Chapter five: determination of intermediary index of countercyclical additional capital supervision in Chinese insurance industry.Because of the procyclical development of China's insurance industry and potential procyclical risks,it is necessary to implement the countercyclical additional capital supervision system.In order to realize the counter-cyclical additional capital supervision,it is necessary to solve the problem of its intermediary index.Based on the correlation analysis of static and dynamic time difference and the signal analysis of KLR,this chapter determines the intermediary index of counter-cyclical additional capital.First,the basic principles of designing intermediary indicators are determined.The intermediary index of counter-cyclical supervision should not only be related to the development of the insurance industry,but also closely related to the macro-economy,and its related structure should be stable,otherwise,it is difficult to judge the time limit of withdrawing and releasing countercyclical additional capital according to intermediary index.Then there is high degree of early warning.The intermediary index of countercyclical supervision is similar to the "barometer" of the development of the insurance industry,which can predict the future development trend of the insurance industry before the boom-bust cycle of the macro-economy.Second,based on the traditional time difference correlation analysis and the dynamic time difference correlation analysis of time-varying Copula model,the potential intermediary indicators of counter-cyclical regulation in insurance industry are initially determined,then,based on the relevant statistical indicators of KLR signal analysis.finally,combined with the time difference correlation analysis,KLR signal analysis and the actual development of the insurance industry,the intermediary index of counter-cyclical additional capital is determined.Chapter 6: The design of countercyclical additional capital plan and release for insurance company.This chapter first transformation model based on Markov area system can identify structural breaks the characteristics of economic variables,deduce the life insurance and life insurance,respectively,the development of the depression,stable,prosperous,three different areas,and then to calculate the non-life insurance and life insurance counter-cyclical additional capital provision and release the capital to make relevant preparation.Secondly,on the basis of KLR signal analysis,the consistency between the insurance development zone system and the actual development state of the insurance industry is evaluated respectively.Finally,according to the Basel agreement ? related literature,respectively,for the life insurance and life insurance counter-cyclical supervision mechanism,design a discrete type and smooth type insurance counter-cyclical additional capital provision and release plan.Chapter 7: Conclusions,Sugestions and prospects.Based on the relevant research on the pro-economic cycle problem and the anti-cyclical regulation of the insurance industry,this paper summarizes the research conclusions,and on the basis of the research conclusions,puts forward relevant policies and Suggestions,and looks forward to the possible research directions of the anti-cyclical regulation of the insurance industry in the future.There may be innovations in the following three aspects:(1)It is the first time to design a relatively complete research program on the extraction and release of countercyclical additional capital in insurance industry.In the C-ROSS,which came into effect in 2016,it is clearly stated that insurance companies should withdraw countercyclical additional capital.The International Insurance Regulatory Organization has also proposed the same requirement,but the detailed regulatory guidelines have not been announced.Scholars at home and abroad lack of relevant research on countercyclical additional capital of insurance companies,and have not yet put forward a complete set of countercyclical additional capital extraction and release program.Based on the research of Wu Jie,Su Fang and other scholars,this paper constructs the intermediary index of countercyclical additional capital supervision scheme,and on the base of this,a set of relatively complete plans for the extraction and release of countercyclical additional capital is designed.Therefore,the study on the mechanism of countercyclical additional capital extraction in insurance industry has certain practical and theoretical foresight.(2)Enrich and improve the insurance industry on procyclicality and counter-cyclical regulation of the relevant theoretical research.The papers on the procyclicality and counter-cyclical regulation of insurance industry are relatively scarce,and especially the theoretical research on the counter-cyclical additional capital regulation of insurance industry is seriously insufficient.First,there are many literatures on the procyclicality of insurance industry based on macro-regulation,but the mechanism of the procyclicality of insurance industry caused by regulatory system is not explained.Based on the theory of procyclical development of Insurance Industry,this paper systematically analyzes the mechanism of procyclical development of insurance industry caused by C-ROSS.Deeply based on the asset-side and liability-side,this paper first explains the internal institutional impetus of the insurance industry to develop along the economic cycle.Secondly,based on the underinvestment theory,this paper explains the procyclicality mechanism of the insurance industry for the first time.Especially when the macroeconomy is in recession,the depression development of the insurance industry will further worsen the downward trend of the macroeconomy.On the other hand,it also explains the necessity of implementing the countercyclical additional capital supervision to the insurance industry.Thirdly,this paper demonstrates the necessity of countercyclical additional capital supervision based on macro-prudential supervision for the first time,which enriches the theoretical system of macro-prudential supervision of China's financial market.(3)Improvements in research methods.First,China's insurance industry started late but developed rapidly,and under the different macroeconomic environment,the insurance industry development state is different.In the few literatures,the procyclicality of the insurance industry is studied from the micro-linear or static point of view,which can not reflect the phase characteristics of the development of the insurance industry.In this paper,the procyclicality of the insurance industry is studied for the first time from the perspective of the evolution of the insurance industry,and for the first time through the solvency risk pressure index constructs empirical test of the Insurance Industry pro-cyclical risk potential.Second,the existing research literatures based on KLR signal analysis to determine the indicator of the early warning effect,which can not determine the early warning period.In order to solve this problem.This paper combines the time difference correlation analysis with the KLR signal method,and by setting the window width with short warning period,the early warning period of the index can be determined to a certain extent.Third,this paper has carried on certain demonstration test to the counter-cyclical additional capital supervision plan designed.Firstly,the Markov regime switching model is constructed based on counter-cyclical regulatory intermediary index,and then the counter-cyclical additional capital extraction and release scheme is designed.The consistency test between the development state of insurance industry in different periods and the actual development state of insurance industry obtained by the Markov regime switching model makes the conclusion of the model more convincing. |
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