Insurance and Interconnectedness in the Financial Services Industry
Insurance and Interconnectedness in the Financial Services Industry
Insurance and Interconnectedness in the Financial Services Industry
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TABLE 2<br />
Pr<strong>in</strong>cipal components analysis of monthly portfolio returns portfolio for brokers, banks, FHCs,<br />
hedge funds, f<strong>in</strong>ancial guarantee <strong>in</strong>surers, life <strong>in</strong>surance, accident <strong>and</strong> health <strong>in</strong>surers, property<br />
<strong>and</strong> casualty <strong>in</strong>surers, <strong>and</strong> o<strong>the</strong>r <strong>in</strong>surers<br />
PANEL A EIGENVALUES<br />
PANEL B EIGENVECTORS<br />
Percentage Variation Expla<strong>in</strong>ed by Pr<strong>in</strong>cipal Component<br />
Sample Period PCA1 PCA2 PCA3 PCA4<br />
1994 through 2010 63.48% 11.28% 8.46% 5.39%<br />
1994 through 1999 69.48% 9.69% 6.32% 5.04%<br />
2000 through 2004 62.32% 16.52% 6.51% 4.55%<br />
2005 through 2008 66.17% 9.29% 7.9% 5.13%<br />
2009 through 2010 76.11% 8.53% 5.78% 3.90%<br />
Eigenvectors correspond<strong>in</strong>g to pr<strong>in</strong>cipal<br />
components<br />
Sample Period Portfolio PCA1 PCA2 PCA3 PCA4<br />
1994 through 2010 Brokers 0.3299 0.3362 -‐0.2890 -‐0.3866<br />
Banks 0.3791 -‐0.0499 -‐0.2940 -‐0.1159<br />
F<strong>in</strong>ancial hold<strong>in</strong>g companies 0.3630 0.0487 -‐0.3570 -‐0.1245<br />
Hedge funds 0.2053 0.8249 0.3288 0.1641<br />
F<strong>in</strong>ancial guarantee <strong>in</strong>surers 0.3356 -‐0.1888 -‐0.3517 0.3731<br />
Life <strong>in</strong>surers 0.3660 -‐0.0413 0.1072 -‐0.1051<br />
Accident & health <strong>in</strong>surers 0.3282 -‐0.1963 0.5777 -‐0.3111<br />
Property & casualty <strong>in</strong>surers 0.3256 -‐0.3480 0.3120 -‐0.1413<br />
O<strong>the</strong>r <strong>in</strong>surers 0.3365 -‐0.0678 0.1680 0.7264<br />
1994 through 1999 Brokers 0.3319 0.1321 -‐0.4755 -‐0.2891<br />
Banks 0.3689 -‐0.0317 -‐0.1922 -‐0.3572<br />
F<strong>in</strong>ancial hold<strong>in</strong>g companies 0.3766 0.0526 -‐0.2044 -‐0.2401<br />
Hedge funds 0.2345 0.7885 -‐0.0555 0.4356<br />
F<strong>in</strong>ancial guarantee <strong>in</strong>surers 0.3478 -‐0.2593 0.2619 -‐0.0353<br />
Life <strong>in</strong>surers 0.3704 -‐0.0282 -‐0.0335 0.0589<br />
Accident & health <strong>in</strong>surers 0.3162 -‐0.2844 -‐0.1180 0.6807<br />
Property & casualty <strong>in</strong>surers 0.3366 -‐0.3698 0.1604 0.1623<br />
O<strong>the</strong>r <strong>in</strong>surers 0.2925 0.2672 0.7634 -‐0.2167<br />
2000 through 2004 Brokers 0.2385 0.5748 -‐0.4291 -‐0.0112<br />
Banks 0.3847 0.0974 -‐0.2641 0.0726<br />
F<strong>in</strong>ancial hold<strong>in</strong>g companies 0.3648 0.0046 -‐0.2667 0.5293<br />
Hedge funds 0.0066 0.7445 0.4720 0.0013<br />
F<strong>in</strong>ancial guarantee <strong>in</strong>surers 0.3741 -‐0.1356 -‐0.0155 -‐0.4780<br />
Life <strong>in</strong>surers 0.3954 0.0202 0.0604 0.0095<br />
Accident & health <strong>in</strong>surers 0.3276 -‐0.2208 0.4883 0.5430<br />
Property & casualty <strong>in</strong>surers 0.3664 -‐0.1950 -‐0.1018 -‐0.2865<br />
O<strong>the</strong>r <strong>in</strong>surers 0.3522 0.0154 0.4467 -‐0.3300<br />
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