Table 7.
Role of bank characteristics.
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
| COVID19_GR | 4.267⁎⁎⁎ | 2.059⁎⁎ | 1.315⁎⁎⁎ | 2.771⁎⁎ | 2.819⁎⁎⁎ | 3.080*** |
| (4.67) | (2.64) | (2.67) | (2.56) | (2.88) | (3.45) | |
| COVID19_GR × Size | 0.830⁎⁎⁎ | |||||
| (6.36) | ||||||
| COVID19_GR × Leverage | 0.082* | |||||
| (1.67) | ||||||
| COVID19_GR × Volatility | 0.606⁎⁎⁎ | |||||
| (3.90) | ||||||
| COVID19_GR × LtA | 2.581* | |||||
| (1.82) | ||||||
| COVID19_GR × Capital Ratio | -0.186⁎⁎ | |||||
| (-2.05) | ||||||
| COVID19_GR × Network | -4.884* | |||||
| (-1.96) | ||||||
| Network | 0.057 | |||||
| (1.40) | ||||||
| Size | -0.065 | -0.063 | -0.027 | -0.134* | -0.203* | -0.015 |
| (-1.52) | (-1.59) | (-0.73) | (-1.72) | (-1.81) | (-0.32) | |
| Leverage | 0.008⁎⁎⁎ | 0.007⁎⁎⁎ | 0.008⁎⁎⁎ | 0.007⁎⁎ | 0.006⁎⁎ | 0.009*** |
| (3.18) | (2.67) | (2.71) | (2.62) | (2.35) | (3.49) | |
| Return | -0.426⁎⁎⁎ | -0.457⁎⁎⁎ | -0.503⁎⁎⁎ | -0.608⁎⁎⁎ | -0.692⁎⁎⁎ | -0.432*** |
| (-3.55) | (-4.10) | (-3.89) | (-3.74) | (-4.33) | (-4.63) | |
| Volatility | 0.166⁎⁎⁎ | 0.193⁎⁎⁎ | 0.156⁎⁎⁎ | 0.241⁎⁎⁎ | 0.252⁎⁎⁎ | 0.192*** |
| (6.74) | (7.02) | (8.62) | (7.12) | (7.77) | (8.49) | |
| Bank FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Day FE | Yes | Yes | Yes | Yes | Yes | Yes |
| Country Cluster | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 328,378 | 328,378 | 328,378 | 232,578 | 198,797 | 246,208 |
| Adj. R2 | 0.871 | 0.859 | 0.863 | 0.865 | 0.869 | 0.871 |
This table shows how banks with different characteristics respond to the COVID-19 pandemic. The sample consists of 1,584 banks in 64 countries over the February 6–December 10, 2020 period. ΔCoVaR is the proxy for systemic risk; COVID19_GR is the 14-day moving average log growth rate of confirmed COVID-19 cases; Size is the log of demeaned market capitalization; Leverage is the sum of the market value of equity and book liabilities divided by the market value of equity; Return is bank stock return; Volatility is the standard deviation of bank retruns over the previous 30 days. LtA is loan-to-asset ratio; Capital Ratio is capital ratio; Network is the eigenvector centrality. LtA and Capital Ratio are measured as of 2019 and hence are excluded from the bank fixed effects models. Standard errors are adjusted for clustering at the country level. t-statistics are in brackets. ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.