IDEAS home Printed from https://ideas.repec.org/a/eee/intfin/v88y2023ics1042443123000951.html
   My bibliography  Save this article

Policy uncertainty and bank systemic risk: A perspective of risk decomposition

Author

Listed:
  • Fang, Yi
  • Wang, Yanru
  • Wang, Qi
  • Zhao, Yang

Abstract

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010–2020, we find consistent and robust evidence that policy uncertainty is negatively associated with bank tail risk but positively related to systemic linkage. When policy uncertainty emerges, banks tend to perform less risk-taking activities but with more homogeneous business patterns, which reflect in market performance. We also investigate the role of national culture that a more individualistic and short-term orientated culture environment will aggravate bank systemic risk.

Suggested Citation

  • Fang, Yi & Wang, Yanru & Wang, Qi & Zhao, Yang, 2023. "Policy uncertainty and bank systemic risk: A perspective of risk decomposition," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    • Handle: RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951
    DOI: 10.1016/j.intfin.2023.101827
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042443123000951
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.intfin.2023.101827?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Economic policy uncertainty; Bank systemic risk; Systemic linkage; Bank tail risk; National culture;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/intfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.