We examine the relationship between systemic risk, its traditional financial and economic determinants, and the COVID-19 related policy interventions in an international framework. The COVID-19 outbreak period represents for us an ideal hub to test the role of such policies on systemic risk. A cross-country panel analysis shows that bank-specific financial variables do not represent a threat to the financial system, contrary to uncertainty and some economic variables such as inflation and interest rates that are the main channels through which policy interventions increased systemic risk worldwide. A possible explanation for our findings is a milder disconnect between the real economy and the financial system, as opposed to the whole equity market, given the higher burden that the financial sector has in an economic recovery.

我们在国际框架内研究系统性风险、其传统金融和经济决定因素以及与 COVID-19 相关的政策干预之间的关系。COVID-19 爆发期对我们来说是测试此类政策对系统性风险作用的理想中心。跨国面板分析表明，银行特定的金融变量并不代表对金融体系的威胁，这与不确定性和通货膨胀和利率等一些经济变量相反，这些变量是政策干预增加全球系统性风险的主要渠道。对我们的发现的一个可能的解释是，考虑到金融部门在经济复苏中承担的更大负担，实体经济与金融体系（而不是整个股市）之间的脱节程度较轻。