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Systemic risk: The impact of COVID-19

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  • Rizwan, Muhammad Suhail
  • Ahmad, Ghufran
  • Ashraf, Dawood

Abstract

Banking sectors across the globe are under immense stress due to the evolving COVID-19 situation and policy responses thereto. This study investigates how COVID-19 impacted the systemic risk in the banking sectors of eight of the most COVID-19 affected countries. We find a significant increase in systemic risk among the sample countries initially, while stagnancy (at an elevated level) is observed during April 2020 except for China, which is showing some recovery. By using spillover measures, we also identify systemically important institutions. The findings of this study testify to the benefits of policy responses in containing systemic risk.

Suggested Citation

  • Rizwan, Muhammad Suhail & Ahmad, Ghufran & Ashraf, Dawood, 2020. "Systemic risk: The impact of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s154461232030684x
    DOI: 10.1016/j.frl.2020.101682
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    References listed on IDEAS

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    More about this item

    Keywords

    Systemic risk; COVID-19; CATFIN; Financial institutions;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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