Trade Policy Uncertainty and Systemic Risk in Commercial Banks: Empirical Evidence from the China–U.S. Trade War
China–U.S. trade tensions and rising trade policy uncertainty (TPU) have become an important external source of financial instability. This paper examines how TPU affects systemic risk in the real sector using China’s A-share non-financial listed firms as the sample, with a focus on the transmission channels underlying this process. Methodologically, the study constructs a CoVaR framework to measure firms’ contributions to systemic risk and applies event study methods together with fixed-effects models for empirical identification. The results indicate that higher TPU is associated with a persistent increase in firms’ systemic risk contribution, and the effect does not dissipate quickly over time. The transmission of this risk is primarily driven by disruptions in supply chains and tighter financing conditions, particularly through trade credit contraction, while expectation-driven channels, consistent with real options effects, also play an important role. Heterogeneity analysis further shows that firms with greater overseas exposure and higher supply chain dependence respond more strongly to TPU shocks, and the effects are more pronounced for firms located in eastern coastal regions. Overall, the findings provide micro-level evidence on how real-sector risk is transmitted to the broader financial system under geopolitical uncertainty, with implications for strengthening supply chain resilience and improving systemic risk management.