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Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock

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  • Tabak, Benjamin Miranda
  • Silva, Igor Bettanin Dalla Riva e
  • Silva, Thiago Christiano

Abstract

We contribute to the literature on financial networks by presenting empirical evidence that the global shock of the COVID-19 pandemic caused changes in the forms and intensity of banking sector connections between different countries. These changes include providing the highest level of connectivity observed in the timeline initiated in 2005. We used a comprehensive set of information containing data from 35 countries (developed and emerging economies) and showed the change in the classification of transmitting and receiving spillover during the COVID-19 crisis. Our results provide relevant insights into systemic integration between countries’ banking markets, especially during difficult times. Our results are significant to Central Banks, banking sector investors, and governments seeking assistance from banks in the solutions for the resumption of the economy in the face of the COVID-19 shock.

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  • Tabak, Benjamin Miranda & Silva, Igor Bettanin Dalla Riva e & Silva, Thiago Christiano, 2022. "Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 324-336.
    • Handle: RePEc:eee:quaeco:v:84:y:2022:i:c:p:324-336
    DOI: 10.1016/j.qref.2022.03.002
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    Cited by:

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    More about this item

    Keywords

    Spillover Index; Banking market; Vector Autoregression; COVID-19; Contagion;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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