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Banking system stress: Unravelling its influence on U.S. industry risk

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  • Yi, Siyu
  • Li, Sitong
  • Chen, Gengxuan

Abstract

Using the Banking System Stress (BSS) Index proposed in Craig (2020), we investigate the impact of BSS on the risk of various industries in the United States. The findings indicate that an increase in the BSS has different impacts on risk across various industries. The results of the dynamic relationship analysis indicate that the impact of BSS shocks on the economic development trend of the United States is not enduring. We further find that an increase in banking system stress significantly enhances the correlation between the risk of different industries, leading to an increase in the interconnection of risks across industries and their systemic risk contribution.

Suggested Citation

  • Yi, Siyu & Li, Sitong & Chen, Gengxuan, 2025. "Banking system stress: Unravelling its influence on U.S. industry risk," Research in International Business and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000625
    DOI: 10.1016/j.ribaf.2025.102806
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    More about this item

    Keywords

    Banking system stress; Industry risks; Dynamic relationship; Systemic risk contribution;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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