Table 9.
Systemic risk during the pandemic. the moderating role of national culture and societal trust.
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
| Dependent Variable: ΔCoVaR | ||||||
| COVID19_GR | 1.873⁎⁎ | 1.620⁎⁎ | 2.292⁎⁎ | 2.136⁎⁎⁎ | 1.751⁎⁎⁎ | 2.443⁎⁎ |
| (2.59) | (2.51) | (2.60) | (3.35) | (3.00) | (2.62) | |
| COVID19_GR × PDI | -0.949⁎⁎⁎ | |||||
| (-2.99) | ||||||
| COVID19_GR × COL | -1.065⁎⁎⁎ | |||||
| (-5.03) | ||||||
| COVID19_GR × MAS | 0.441 | |||||
| (0.80) | ||||||
| COVID19_GR × UAI | -1.142⁎⁎⁎ | |||||
| (-3.32) | ||||||
| COVID19_GR × LTO | -1.217⁎⁎⁎ | |||||
| (-3.78) | ||||||
| COVID19_GR × Trust | -0.973⁎⁎⁎ | |||||
| (-3.90) | ||||||
| Size | -0.041 | -0.049 | -0.048 | -0.057 | -0.054 | -0.041 |
| (-1.06) | (-1.21) | (-1.30) | (-1.36) | (-1.22) | (-0.76) | |
| Leverage | 0.008⁎⁎⁎ | 0.008⁎⁎⁎ | 0.008⁎⁎⁎ | 0.008⁎⁎⁎ | 0.008⁎⁎⁎ | 0.004 |
| (3.17) | (3.23) | (3.02) | (2.86) | (2.92) | (1.40) | |
| Return | -0.432⁎⁎⁎ | -0.422⁎⁎⁎ | -0.432⁎⁎⁎ | -0.413⁎⁎⁎ | -0.428⁎⁎⁎ | -0.426⁎⁎⁎ |
| (-4.12) | (-4.05) | (-4.11) | (-3.97) | (-4.18) | (-4.41) | |
| Volatility | 0.182⁎⁎⁎ | 0.181⁎⁎⁎ | 0.190⁎⁎⁎ | 0.191⁎⁎⁎ | 0.187⁎⁎⁎ | 0.199⁎⁎⁎ |
| (7.45) | (7.54) | (7.27) | (7.71) | (7.42) | (7.75) | |
| 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 | 288,645 | 288,645 | 288,645 | 288,645 | 279,490 | 191,983 |
| Adj. R2 | 0.869 | 0.871 | 0.868 | 0.870 | 0.870 | 0.864 |
This table reports results on the moderating effects of national culture and societal trust. ΔCoVaR is the proxy for systemic risk; COVID19_GR is the 14-day moving average log growth rate of confirmed COVID-19 cases; PDI is the extent to which the less powerful expect and accept that power is distributed unequally; COL is the degree to which a society stresses the role of the group versus that of the individual; MAS is the extent to which “male assertiveness” is promoted as a dominant value in a society; UAI is a society's tolerance for uncertain, unknown, or unstructured situations; LTO is the extent to which long-term interests are valued more than short-term ones; Trust is societal trust. 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.