Global Uncertainty and Volatility Transmission in the Banking Sector: An Empirical Analysis on Mediterranean Economies

Özbek G. B.

6th International Banking Congress, Çanakkale, Türkiye, 7 - 09 Mayıs 2026, ss.220-221, (Özet Bildiri)

  • Yayın Türü: Bildiri / Özet Bildiri
  • Basıldığı Şehir: Çanakkale
  • Basıldığı Ülke: Türkiye
  • Sayfa Sayıları: ss.220-221
  • Bursa Uludağ Üniversitesi Adresli: Evet

Özet

Aim: The purpose of this study is to examine the impact of global uncertainty conditions on banking sector indices in selected Mediterranean economies and to analyze volatility transmission mechanisms originating from the U.S. banking sector. Understanding risk transmission dynamics in economies with bank-based financial structures and varying levels of global integration is of importance for financial stability assessments.

Data and Method: The study employs banking indices from Greece, Italy, Spain and Türkiye, along with U.S. banking sector indicators. The VIX index was preferred as the global uncertainty indicator and weekly data covering the period from November 2015 to December 2025 were analyzed. The effects of global uncertainty were examined using the GARCH-X (1,1) model, while volatility spillover was assessed through the bivariate BEKKGARCH model.

Findings: The results demonstrate that global uncertainty generates significant and negative effects on banking returns across all countries. The magnitude of the effect varies among countries, with the strongest effect observed in Greece. This situation is consistent with the sovereign-bank nexus mechanism, which reflects the public debtbanking relationship. It has been determined that volatility in Türkiye is more sensitive to short-term shocks, while the persistence level is higher in Eurozone countries. Volatility transmission analyses identify significant spillovers from the U.S. banking sector to Greece and Spain, while indicating that Italy and Türkiye exhibit a relatively more isolated structure.

Conclusion: The findings reveal that the banking sector exhibits high sensitivity to changes in global risk perception and that risk transmission mechanisms display heterogeneity across countries. Financial structure and the level of integration play a determinative role in this differentiation.

Originality: The study presents a dual-channel risk transmission framework focused on the banking sector by jointly addressing implied volatility effects and realized volatility spillovers; and provides empirical evidence in the context of the Mediterranean region.

Policy Recommendations: Greater internalization of global risk indicators within the macroprudential policy framework, consideration of international financial conditions in the calibration of capital buffers, and expansion of stress tests to directly incorporate global financial shocks can enhance financial resilience.