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 negatively associated with bank tail risk but positively related to systemic …

The 2019 revision to the Capital Requirements Directive allowed the systemic risk buffer to be applied on a sectoral …

What is the impact of policy interventions on the systemic risk of banks? To answer this question, we analyze a …-affected European banks between 2005 and 2014. We find a positive and significant association of 'guarantees' with systemic risk, which … different for large banks. 'Liquidity injections' are similarly positively linked with systemic risk, but the long run effect is …

in herding behavior. It shows that these two important causes of systemic risk are interdependent and thus cannot be …

returns of banks are positively related to sovereign risk, with Greek banks experiencing extremely high abnormal returns. By … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …