The impact of COVID-19 related policy interventions on international systemic risk

Bevilacqua, Mattia; Duygun, Meryem; Vioto, Davide

Abstract

We examine the relationship between systemic risk, its traditional financial and economic determinants, and the COVID-19 related policy interventions in an international framework. The COVID-19 outbreak period represents for us an ideal hub to test the role of such policies on systemic risk. A cross-country panel analysis shows that bank-specific financial variables do not represent a threat to the financial system, contrary to uncertainty and some economic variables such as inflation and interest rates that are the main channels through which policy interventions increased systemic risk worldwide. A possible explanation for our findings is a milder disconnect between the real economy and the financial system, as opposed to the whole equity market, given the higher burden that the financial sector has in an economic recovery.

Citation

Bevilacqua, M., Duygun, M., & Vioto, D. (2023). The impact of COVID-19 related policy interventions on international systemic risk. Journal of International Financial Markets, Institutions and Money, 89, Article 101859. https://doi.org/10.1016/j.intfin.2023.101859

• Journal Article Type: Article
• Acceptance Date: Oct 3, 2023
• Online Publication Date: Oct 21, 2023
• Publication Date: Dec 1, 2023
• Deposit Date: Dec 5, 2023
• Publicly Available Date: Dec 5, 2023
• Journal: Journal of International Financial Markets, Institutions and Money
• Print ISSN: 1042-4431
• Electronic ISSN: 1873-0612
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 89
• Article Number: 101859
• DOI: https://doi.org/10.1016/j.intfin.2023.101859
• Keywords: Economics and Econometrics; Finance
• Public URL: https://nottingham-repository.worktribe.com/output/26519589
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S1042443123001270?via%3Dihub
• Additional Information: This article is maintained by: Elsevier; Article Title: The impact of COVID-19 related policy interventions on international systemic risk; Journal Title: Journal of International Financial Markets, Institutions and Money; CrossRef DOI link to publisher maintained version: https://doi.org/10.1016/j.intfin.2023.101859; Content Type: article; Copyright: © 2023 The Author(s). Published by Elsevier B.V.