Pandemia koronawirusa, komunikaty ESPI a udział banków komercyjnych w ryzyku systemowym

Wojciech  Grabowski

doi:10.26354/bb.1.2.83.2021

Published: 2021-10-03

Vol. 83 No. 2 (2021)

The Coronavirus Pandemic, ESPI Messages and Contribution of Banks to Systemic Risk

Wojciech Grabowski

Section: Problems and Opinions

https://doi.org/10.26354/bb.1.2.83.2021

Abstract

This article presents the results of an empirical study on the contribution to systemic risk of financial institutions included in the WIG-BANKI index. Daily data from the beginning of 2013 to the end of March 2021 and the “Component Expected Shortfall” method are used. The results of the calculations indicate an increase in the contribution to systemic risk of the largest financial institutions with the outbreak of the coronavirus pandemic. At the same time, periods of increased contribution are compared to ESPI’s announcements regarding the bank’s situation. The results of the analysis show that the appearance of negative information about a given institution and the interweaving of optimistic and pessimistic messages resulted in the increase in the bank’s contribution to systemic risk.

Keywords:

systemic risk , financial crisis , Component Expected Shortfall

JEL Codes

JEL1, Jel2

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Grabowski, W. . (2021). The Coronavirus Pandemic, ESPI Messages and Contribution of Banks to Systemic Risk. Safe Bank, 83(2), 8–31. https://doi.org/10.26354/bb.1.2.83.2021

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Vol. 83 No. 2 (2021)
Published: 2021-10-03

ISSN: 1429-2939

eISSN: 2544-7068

10.26354

Publisher

Bankowy Fundusz Gwarancyjny

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This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

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