台灣利率變動型年金與變額年金發展的總體經濟影響因素研究 The Impact of Macroeconomic Variables on Interest-SensitiveAnnuity

摘要
　　本研究以2003至2011年的月資料，透過向量誤差修正模型研究總體經濟變數對於年金保險初年度保費收入發展之影響。研究顯示利率變動型年金保費、變額年金保費與選定之總體經濟變數間存在長期的共整合關係。長期而言利率變動型年金保費、變額年金保費與存款餘額、通貨膨脹率、匯率間，皆呈現顯著的正向關係。然而股價指數、存款利率與兩種不同年金商品保費間呈現不一致的顯著關係。在短期下，利率變動型年金保費與選定之總體經濟變數間，主要呈現正向關係；而變額年金保費與選定之總體經濟變數間，主要呈現負向關係。另外，Granger因果關係檢定顯示多數的總體經濟變數對於年金商品保費存在因果關係，但兩種不同年金商品保費的因果關係存有差異。最後，本研究顯示多數的總體經濟變數顯著地影響年金商品保費的發展，但是其影響對兩種不同年金商品存有差異。
關鍵詞：利率變動型年金、變額年金、總體經濟、向量誤差修正模型
Abstract
　　This study focuses on the impact of macroeconomic variables on the first-year premiums of individual annuity in Taiwan, using a vector error-correction model with monthly figures from 2003 to 2011. The results reveal that a long-term relationship of cointegration exists between macroeconomic variables and annuity premiums. In the long term, positive relationships exist between deposit balance, inflation rate, exchange rate and premiums of both annuities. However, the relationships are inconsistent between stock index, interest rate and premiums of the 2 types of annuities. In the short term, the results primarily demonstrate positive relationships between macroeconomic variables and interest-sensitive annuity premiums but negative relationships between macroeconomic variables and variable annuity premiums. Furthermore, the Granger causality test showed that the majority of macroeconomic variables are the Granger causes of annuity premiums; however certain differences exist between the 2 types of annuities. Finally, our evidence shows that certain substantial impacts of macroeconomic variables on the premiums of annuities exist, which reveal the differences between the 2 types of annuity.
Keywords: interest-sensitive annuity,variable annuity, macroeconomic, VECM