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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FIGURE 5<br />
The first two components <strong>and</strong> <strong>the</strong>ir relationship with pairwise correlations among portfolios<br />
Panel A PCA1 <strong>and</strong> <strong>the</strong> mean of portfolio correlations<br />
Component or correlaOon<br />
1.0<br />
0.9<br />
0.8<br />
0.7<br />
0.6<br />
0.5<br />
0.4<br />
0.3<br />
0.2<br />
0.1<br />
0.0<br />
Dec-‐96<br />
Jul-‐97<br />
Feb-‐98<br />
Sep-‐98<br />
Apr-‐99<br />
Nov-‐99<br />
Jun-‐00<br />
Jan-‐01<br />
Aug-‐01<br />
Mar-‐02<br />
Oct-‐02<br />
May-‐03<br />
Panel B PCA2 <strong>and</strong> <strong>the</strong> variance of correlations<br />
Component or correlaOon<br />
0.4<br />
0.3<br />
0.3<br />
0.2<br />
0.2<br />
0.1<br />
0.1<br />
0.0<br />
Dec-‐96<br />
Jul-‐97<br />
Feb-‐98<br />
Sep-‐98<br />
Apr-‐99<br />
Nov-‐99<br />
Jun-‐00<br />
Jan-‐01<br />
Aug-‐01<br />
Mar-‐02<br />
Oct-‐02<br />
Dec-‐03<br />
Jul-‐04<br />
Month<br />
May-‐03<br />
Dec-‐03<br />
Jul-‐04<br />
Month<br />
PCA1 Mean of correlayons<br />
Feb-‐05<br />
Sep-‐05<br />
Feb-‐05<br />
Sep-‐05<br />
Apr-‐06<br />
Nov-‐06<br />
Apr-‐06<br />
Nov-‐06<br />
Jun-‐07<br />
Jan-‐08<br />
Jun-‐07<br />
Jan-‐08<br />
Aug-‐08<br />
Mar-‐09<br />
Aug-‐08<br />
Mar-‐09<br />
Oct-‐09<br />
May-‐10<br />
PCA2 Variance of correlayons<br />
Oct-‐09<br />
Dec-‐10<br />
May-‐10<br />
Dec-‐10<br />
32