Table 8.
Systemic risk during the pandemic: the moderating role of the regulatory environment.
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | |
|---|---|---|---|---|---|---|---|
| Dependent Variable: ΔCoVaR | |||||||
| COVID19_GR | 2.336⁎⁎ | 1.425* | 2.294⁎⁎ | 1.951⁎⁎⁎ | 2.145⁎⁎⁎ | 2.130⁎⁎⁎ | 2.032⁎⁎ |
| (2.61) | (1.81) | (2.63) | (3.14) | (2.82) | (2.69) | (2.62) | |
| COVID19_GR | 0.309 | ||||||
| × Act_restrict | (1.06) | ||||||
| C OVID19_GR | -0.134 | ||||||
| × Cap_reg | (-0.55) | ||||||
| C OVID19_GR | 0.171 | ||||||
| × Sup_power | (0.74) | ||||||
| C OVID19_GR | 1.016⁎⁎⁎ | ||||||
| × No_dep | (3.56) | ||||||
| C OVID19_GR | -0.513 | ||||||
| × Bank_con | (-1.38) | ||||||
| C OVID19_GR | -0.907⁎⁎⁎ | ||||||
| × For_bank | (-2.94) | ||||||
| C OVID19_GR | -0.641* | ||||||
| × Gov_bank | (-1.78) | ||||||
| S ize | -0.051 | -0.028 | -0.045 | -0.064 | -0.060 | -0.050 | -0.048 |
| (-1.17) | (-0.69) | (-0.99) | (-1.35) | (-1.36) | (-1.20) | (-1.04) | |
| Leverage | 0.007⁎⁎⁎ | 0.008⁎⁎ | 0.007⁎⁎⁎ | 0.007⁎⁎⁎ | 0.007⁎⁎⁎ | 0.008⁎⁎⁎ | 0.008⁎⁎⁎ |
| (2.80) | (2.26) | (2.82) | (2.73) | (2.75) | (2.92) | (2.91) | |
| Return | -0.401⁎⁎⁎ | -0.379⁎⁎⁎ | -0.405⁎⁎⁎ | -0.396⁎⁎⁎ | -0.398⁎⁎⁎ | -0.400⁎⁎⁎ | -0.401⁎⁎⁎ |
| (-3.25) | (-2.91) | (-3.32) | (-3.34) | (-3.31) | (-3.29) | (-3.22) | |
| Volatility | 0.196⁎⁎⁎ | 0.197⁎⁎⁎ | 0.194⁎⁎⁎ | 0.192⁎⁎⁎ | 0.196⁎⁎⁎ | 0.192⁎⁎⁎ | 0.188⁎⁎⁎ |
| (7.25) | (7.70) | (7.21) | (7.84) | (7.37) | (7.46) | (7.63) | |
| Bank FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Day FE | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Country Cluster | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Observations | 297,685 | 261,523 | 295,411 | 296,755 | 297,685 | 297,685 | 297,685 |
| Adj. R2 | 0.866 | 0.871 | 0.866 | 0.868 | 0.867 | 0.867 | 0.867 |
This table reports results on the moderating effects of banking regulation, competition, and ownership. ΔCoVaR is the proxy for systemic risk; COVID19_GR is the 14-day moving average log growth rate of confirmed COVID-19 cases; Act_restrict is the overall restrictions on banking activities; Cap_reg is the capital regulatory index; Sup_power captures whether the supervisory authority has the power to take specific actions to prevent and correct problems; No_dep means there is no explicit deposit insurance scheme; Bank_con is bank concentration; For_bank is the extent to which the banking system's assets are foreign-owned; Gov_bank is the extent to which the banking system's assets are government-owned. All control variables are lagged. All specifications include bank and day fixed effects and control variables. 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.