经济政策不确定性与商业银行风险承担行为——基于中美两国银行业的经验证据  

Economic Policy Uncertainty and Bank Risk Taking--Based on the Evidence of the Banking System in China and the United States

作　　者：何国华[1] 邬飘 HE Guohua;WU Piao(School of Economics and Management,Wuhan University,Wuhan 430072,China)

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《经济经纬》2020年第2期159-168,共10页Economic Survey

基　　金：国家社会科学基金项目(18BJY249);教育部哲学社会科学研究重大课题攻关项目(17JZD015)。

摘　　要：基于中美两国银行业的经验数据,构建动态面板GMM模型,利用Baker等(2012)编制的经济政策不确定性指数,检验了银行风险承担渠道中经济政策不确定性的作用。实证结果表明:经济政策不确定性削弱了宽松货币政策下两国银行业的整体风险承担水平和信贷增速,中国国有控股银行在经济政策不确定性越高的情况下反而更倾向于承担风险。从银行风险承担水平影响信贷增速的检验结果来看,中国商业银行在风险承担水平更高的情况下信贷增速更低,美国商业银行则表现出完全相反的特征,在风险承担水平更高情况下信贷增速越高。此研究对于宏观经济调控具有政策意义。Based on the empirical data of the banking industries in China and the United States,this paper tests how the economic policy uncertainty works in the bank risk taking channel by constructing a dynamic panel GMM model,and by using the economic policy uncertainty index compiled by Baker,Bloom and Davis(2013).The results show that the economic policy uncertainty undermines the overall risk taking and credit growth of the banking system under the loose monetary policy in both countries.However,the test results of the discriminant sample show that the higher the economic policy uncertainty is,the state-owned banks are more inclined to take risk.According to the results of the credit growth rate affected by the bank’s risk taking,commercial banks in China have a lower credit growth rate with higher risk-taking,while commercial banks in U.S.show the opposite characteristics—the higher the risk-taking,the higher the credit growth rate.

关 键 词：经济政策不确定性 货币政策 银行风险承担水平 

分 类 号：F830.4[经济管理—金融学]