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Impact of COVID-19, Political, and Financial Events on the Performance of Commercial Banking Sector

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journal contribution
posted on 19.05.2022, 04:37 authored by Ghulam Ghouse, Ishaq BhattiIshaq Bhatti, Muhammad Hassam Shahid
This paper employs a structural empirical model to gauge the possible effects of COVID-19, political and financial events on the returns and volatility of commercial banks. It observes that insured and run-prone uninsured depositors choose between differentiated commercial banks, which appears to be significantly impacted from the present pandemic, especially for the case of Pakistan’s commercial banking sector. The estimated volatility series for commercial banks is measured through the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We calibrate by Impulse Indicator Saturation (IIS) to detect the structural breaks formed by these events in the returns and volatility series of commercial banks. It is observed that the calibrated model possesses almost all financial events that have had a prominent impact on the returns and volatility series whereas two out of eighteen political events are unimpacted.

History

Publication Date

01/04/2022

Journal

Journal of Risk and Financial Management

Volume

15

Issue

4

Article Number

186

Pagination

18p.

Publisher

MDPI

ISSN

1911-8066

Rights Statement

© 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/)