Bank systemic risk around COVID-19: A cross-country analysis

Yuejiao Duan, Sadok El Ghoul, Omrane Guedhami, Haoran Li and Xinming Li

Journal of Banking & Finance, 2021, vol. 133, issue C

Abstract: Using 1,584 listed banks from 64 countries during the COVID-19 pandemic, we conduct the first broad-based international study of the effect of the pandemic on bank systemic risk. We find the pandemic has increased systemic risk across countries. The effect operates through government policy response and bank default risk channels. Additional analysis suggests that the adverse effect on systemic stability is more pronounced for large, highly leveraged, riskier, high loan-to-asset, undercapitalized, and low network centrality banks. However, this effect is moderated by formal bank regulation (e.g., deposit insurance), ownership structure (e.g., foreign and government ownership), and informal institutions (e.g., culture and trust).

Keywords: Banking; COVID-19; International; Systemic risk; Regulation; Informal institutions (search for similar items in EconPapers)
JEL-codes: F30 G28 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (79)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:133:y:2021:i:c:s037842662100251x

DOI: 10.1016/j.jbankfin.2021.106299

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