We examine the impact of economic policy uncertainty (EPU) on systemic risk. Based on a large sample of 889 listed banks from 20 countries, we provide empirical evidence that banks are more likely to contribute more to systemic risk when EPU increases. The effect operates through the bank...

This paper examines the driving effect of economic policy uncertainty on bank systemic risk with a distinction between systemic linkage and bank tail risk. Using bank-level data of 25 economies during the period 2010-2020, we find consistent and robust evidence that policy uncertainty is...