This paper aims at testing the significance of each of Covid-19 pandemic and social distancing on banks’ asset quality, using a sample of 30 banks representing 10 countries according to GMM technique. Data have been collected from the World Health Organization during 2020. The research covers 10 countries (Egypt; Saudi Arabia; Indonesia; Germany; France; Russia; India; Mexico; South Korea and Nigeria) where 3 banks have been investigated from each country.
Results indicate that banks’ asset quality measured by Average change of nonperforming loans ratio seems to be sensitive to Covid-19 spread, measured by Average cases of COVID-19. Besides, findings support the effect of social distancing, measured by each of average staying at residential and average social distancing for retail-recreation. It’s important to pinpoint that results do not support the effect of each of average deaths of Covid-19 and average social distancing for workplaces, residential, grocery pharmacy, parks and transit stations.
Effectiveness of social distancing interventions in containing COVID-19 incidence: International evidence using Kalman filter
