We revisit the discussion on banking system contagion by proposing a risk-based empirical analysis during the current pandemic period. We use daily returns on G7 banking sector indices from 1 January 2015 to 31 December 2019 (pre-pandemic), and from 1 January 2020 to 16 October 2020 (pandemic). Based on the dissimilarities, the pandemic has intensified banking contagion. Frequency-based Granger causality is useful to tell the history of the pass-through of this health crisis across G7 banking sectors. We highlight the increase in the predictive relevance of Italian banking cycles during the pandemic. VaR ratio analysis, considering 21 possible pairwise combinations with the G7 financial indices, suggests a stronger contagion between banking systems. The greatest contagion is evident in the Italian and French banking systems, countries severely affected by deaths by COVID-19, while we find less contagion between Japan and Germany, countries least affected by the first wave of COVID-19.

我们通过在当前大流行期间提出基于风险的实证分析来重新讨论关于银行系统传染的讨论。我们使用 2015 年 1 月 1 日至 2019 年 12 月 31 日（大流行前）和 2020 年 1 月 1 日至 2020 年 10 月 16 日（大流行）期间 G7 银行业指数的每日回报。基于这些差异，大流行加剧了银行业的传染。基于频率的格兰杰因果关系有助于说明这场健康危机在七国集团银行业中的传递历史。我们强调在大流行期间意大利银行周期的预测相关性增加。VaR 比率分析，考虑到 G7 金融指数的 21 种可能的成对组合，表明银行系统之间存在更强的传染性。意大利和法国的银行系统受到的影响最为明显，