US banks in the time of COVID-19: fresh insights from the wavelet approach

Saeed Sazzad Jeris and Ridoy Deb Nath ()
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Ridoy Deb Nath: Shahjalal University of Science and Technology

Eurasian Economic Review, 2021, vol. 11, issue 2, No 5, 349-361

Abstract: Abstract This study explores the impact of COVID-19, crude oil price, US economic policy uncertainty, baltic dry index, and the stock market volatility on the US bank indices. This study is conducted based on the daily data ranging from 21st January 2020 to 30th October 2020. The wavelet coherence analysis suggests that rising COVID-19 cases in the US have a strong impact on both bank indices. Also, global COVID-19 cases influence the bank indices, although it is not as strong as US COVID-19 cases. Additionally, we have found that the US economic policy uncertainty and stock market volatility imposed negative and strong effect on the bank indices in this pandemic situation. Moreover, continuous fluctuation of crude oil price makes the US banks volatile throughout the period.

Keywords: US bank indices; COVID-19; VIX; Oil price; Economic policy uncertainty; Baltic dry index (search for similar items in EconPapers)
JEL-codes: E52 G01 G21 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s40822-021-00171-8

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