• Media type: E-Book
  • Title: Policy uncertainty and bank systemic risk : a perspective of risk decomposition
  • Contributor: Fang, Yi [VerfasserIn]; Wang, Yanru [VerfasserIn]; Wang, Qi [VerfasserIn]; Zhao, Yang [VerfasserIn]
  • imprint: [S.l.]: SSRN, [2022]
  • Extent: 1 Online-Ressource (ca. 39 Seiten)
  • Language: English
  • Keywords: Economic policy uncertainty ; Bank systemic risk ; Systemic linkage ; Bank tail risk ; National culture
  • Origination:
  • Footnote:
  • Description: This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010-2020, we find consistent and robust evidence that policy uncertainty is negatively associated with bank tail risk but positively related to systemic linkage. When policy uncertainty increases, banks tend to perform less risk-taking activities but with more homogeneous business patterns, which reflect in market performance. We also investigate the role of national culture that a more individualistic and short-term orientated culture environment will aggravate bank systemic risk in the time of policy uncertainty
  • Access State: Open Access