تأثیر متغیرهای کلان اقتصادی بر عملکرد صنعت بیمه با استفاده از رویکرد SVAR (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
پیشینه و اهداف: پژوهش حاضر با هدف اکتشاف و تبیین عوامل کلان اقتصادی مؤثر بر عملکرد صنعت بیمه ایران صورت گرفته است. روش شناسی: پژوهش حاضر براساس داده های فصلی (1390-1401) صورت گرفته است. جامعه آماری پژوهش تمامی شرکت های پذیرفته شده بورس بهادار ایران است. برآورد میزان شدت اثر هرکدام از عوامل مؤثر بر عملکرد صنعت بیمه، با استفاده از مدل خودرگرسیون برداری ساختاری (svar) از طریق نرم افزار EViews12 انجام گرفته است. یافته ها : نتایج پژوهش نشان داد که شوک مخارج دولت ابتدا باعث افزایش 0.2 درصدی سودآوری تا دوره دوم می شود، سپس در دوره سوم تعدیل و از دوره چهارم تا هفتم مثبت باقی می ماند، اما پس از آن خنثی می شود. شوک عرضه پول و نرخ بیکاری تأثیری نوسانی و خنثی بر سودآوری دارند. تغییرات رشد اقتصادی نیز اثری نوسانی و کاهنده فزاینده دارد و در نهایت خنثی می شود. تغییرات تورم تقریباً خنثی است، درحالی که تغییرات درآمد مالیاتی و نرخ ارز آثار نوسانی دارند. تجزیه واریانس نشان می دهد که در کوتاه مدت شوک درآمد مالیاتی 23 درصد و در بلندمدت شوک مخارج دولت 30 درصد تغییرات سودآوری را توضیح می دهند. شوک رشد اقتصادی نیز در میان مدت و بلندمدت حدود 12 درصد تغییرات سودآوری را تبیین می کند. نتیجه گیری: براساس یافته های پژوهش، پیشنهاد می شود سیاست گذاران در هزینه های دولتی رویکردی متعادل اتخاذ کنند، زیرا شوک های هزینه های دولتی ابتدا سودآوری بیمه ها را افزایش می دهد، اما در بلندمدت بی اثر می شود. افزایش های کوتاه مدت مفید است، اما ثبات بلندمدت نیاز به سیاست های مالی پایدار دارد. تغییرات عرضه پول تأثیر نوسانی و کمی بر سودآوری دارد، لذا ثبات در سیاست های پولی و نرخ بهره برای صنعت بیمه ضروری است. شوک های نرخ بیکاری و رشد اقتصادی در کوتاه مدت تأثیر مثبت دارند، اما در بلندمدت بی اثر یا نوسانی هستند. کنترل تورم برای حفظ ثبات قیمت ها مهم است، و تغییرات درآمد مالیاتی نیز به ویژه در کوتاه مدت بر سودآوری تأثیرگذار است. شوک های نرخ ارز متغیرند و شرکت های بیمه باید مدیریت ریسک ارزی را تقویت کنند. در نهایت، مدیریت مالی داخلی برای سودآوری بلندمدت اهمیت دارد و باید با استفاده از آموزش های مناسب بهبود یابد.The Impact of Macroeconomic Variables on the Performance of the Insurance Industry Using the SVAR Approach
BACKGROUND AND OBJECTIVES: The present study was conducted with the primary objective of identifying, analyzing, and explaining the key macroeconomic factors that influence the performance of Iran's insurance industry. By examining a range of economic indicators and their dynamic interactions with the financial outcomes of insurance firms, this research aims to provide a comprehensive understanding of how broader economic conditions shape the profitability, growth, and stability of the insurance sector in Iran. METHODS: This study analyzes seasonal data spanning from 1390 to 1401 (according to the Iranian calendar), focusing on the performance dynamics of the insurance industry within the context of the Iranian economy. The statistical population includes all companies listed on the Tehran Stock Exchange (TSE), ensuring comprehensive coverage of relevant market participants. The main objective of this research is to evaluate and quantify the impact of various macroeconomic and industry-specific factors on the performance of the insurance sector. To achieve this, the Structural Vector Autoregression (SVAR) model is employed, allowing for the identification and estimation of structural shocks and dynamic interactions among variables over time. The model is estimated using EViews 12 software, which facilitates a robust econometric analysis. The findings of the study provide valuable insights into the intensity and direction of influence of different factors, offering practical implications for policymakers, investors, and insurance managers in their strategic decision-making processes. FINDINGS: The findings of the study reveal that a government’s spending shock leads to a short-term increase in the profitability of the insurance industry, with an initial rise of approximately 0.2% lasting until the second period. This effect undergoes adjustment in the third period and remains positive from the fourth to the seventh period, eventually stabilizing at a neutral level in the subsequent periods. Shocks related to the money supply and unemployment rate demonstrate a volatile pattern with no clear long-term direction, ultimately exerting a neutral effect on profitability. In contrast, fluctuations in economic growth display an oscillatory and gradually diminishing influence, which eventually converges to a neutral state. The impact of inflation changes is largely neutral across all periods. However, tax revenue and exchange rate shocks show significant oscillating effects on profitability. The results of variance decomposition further highlight the differential influence of these shocks over various time horizons. In the short term, tax revenue shocks account for approximately 23% of the variability in insurance industry profitability. Over the long term, a government’s spending shocks become more dominant, explaining around 30% of profitability fluctuations. Moreover, economic growth shocks contribute meaningfully in the medium to the long term, accounting for about 12% of the variation in profitability. These findings underscore the importance of fiscal and macroeconomic policies in shaping the performance dynamics of the insurance sector in Iran. CONCLUSION: The findings of this research underscore the importance of adopting a balanced and forward-looking approach to government spending. While fiscal expansion can temporarily boost the profitability of insurance companies—particularly in the short run—its diminishing effect over time indicates that without structural reforms and prudent budgeting, such policies may lose their effectiveness. Therefore, sustainable and strategically targeted fiscal policies are essential for maintaining long-term stability in the insurance sector.Furthermore, the study highlights that changes in money supply have minimal and inconsistent effects on insurance profitability. This suggests that fluctuations in monetary variables may introduce uncertainty rather than provide clear benefits. Hence, ensuring stability in monetary policy, particularly in controlling interest rates and managing liquidity, is crucial for creating a predictable financial environment in which insurance companies can operate effectively. Macroeconomic shocks related to unemployment and economic growth demonstrate short-term positive impacts; however, their long-term influence tends to be neutral or erratic. This finding implies that while temporary economic improvements may support insurance performance, sustained profitability depends on broader and more consistent economic development strategies. Although inflation does not appear to significantly affect profitability in the period analyzed, controlling inflation remains a vital priority. Price stability contributes to maintaining the real value of insurance products and premiums, enhancing consumer trust and long-term planning capabilities within the industry. Tax revenues were found to be a significant factor in short-term profitability shifts. As such, stable and transparent tax policies are essential to avoid unintended disruptions in the financial performance of insurance firms. Policymakers should aim for a tax environment that encourages investment and long-term planning within the sector. Exchange rate volatility poses another challenge, particularly in an increasingly globalized economic environment. Insurance companies should adopt more robust foreign exchange risk management strategies to shield themselves from currency-related losses and maintain financial resilience. Lastly, the research emphasizes the critical role of internal financial management. Long-term profitability is not solely determined by external macroeconomic conditions, but also by the efficiency and competence of internal operations. Investing in workforce development, financial training, and strategic planning will help insurance companies adapt more effectively to changing economic conditions and enhance their overall resilience.
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