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

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  • Saeed Sazzad Jeris

    (Shahjalal University of Science and Technology)

  • Ridoy Deb Nath

    (Shahjalal University of Science and Technology)

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.

Suggested Citation

  • Saeed Sazzad Jeris & Ridoy Deb Nath, 2021. "US banks in the time of COVID-19: fresh insights from the wavelet approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 349-361, June.
    • Handle: RePEc:spr:eurase:v:11:y:2021:i:2:d:10.1007_s40822-021-00171-8
    DOI: 10.1007/s40822-021-00171-8
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    2. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).

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    More about this item

    Keywords

    US bank indices; COVID-19; VIX; Oil price; Economic policy uncertainty; Baltic dry index;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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