Systemic risk: The impact of COVID-19

Muhammad Suhail Rizwan, Ghufran Ahmad and Dawood Ashraf

Finance Research Letters, 2020, vol. 36, issue C

Abstract: Banking sectors across the globe are under immense stress due to the evolving COVID-19 situation and policy responses thereto. This study investigates how COVID-19 impacted the systemic risk in the banking sectors of eight of the most COVID-19 affected countries. We find a significant increase in systemic risk among the sample countries initially, while stagnancy (at an elevated level) is observed during April 2020 except for China, which is showing some recovery. By using spillover measures, we also identify systemically important institutions. The findings of this study testify to the benefits of policy responses in containing systemic risk.

Keywords: Systemic risk; COVID-19; CATFIN; Financial institutions (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s154461232030684x

DOI: 10.1016/j.frl.2020.101682

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