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- W4285388599 abstract "Ever since the COVID-19 pandemic hit the global economy, banks all over the world experienced significant reductions in loan growth and increases in distressed and non-performing assets. The persistent increase in non-performing loans, accompanied by low interest rates, led to a surge in banking risk, posing a solemn threat to banks’ stability. In this paper, we empirically assess the accounting- and market-based risks of banks during the COVID-19 pandemic. Using a quarterly panel of international banks over the period 2020:Q1 – 2021:Q1, we find that banks exhibit greater accounting risk and increased return volatility during the pandemic. In particular, we report that a 1% growth of total COVID cases reduces (increases) our sample banks’ z-score (standard deviation of quarterly return) by 0.756 (2.51%). Our results remain robust across alternative measures of the pandemic, z-score decomposition, and across daily and monthly stock returns. We obtain consistent results for both U.S. and non-U.S. banks, as well as for banks from both high- and low-income economies. We use a propensity score matching strategy to deal with endogeneity. Additional tests reveal that government responses such as economic support, stringency, and containment play important roles in banking risk and stability during the pandemic." @default.
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- W4285388599 date "2022-07-14" @default.
- W4285388599 modified "2023-10-04" @default.
- W4285388599 title "Banks’ financial soundness during the COVID-19 pandemic" @default.
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- W4285388599 doi "https://doi.org/10.1007/s12197-022-09591-x" @default.
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