经济政策不确定性与银行流动性创造:来自中国的经验证据  

Economic Policy Uncertainty and the Creation of Bank Liquidity:Empirical Evidence from China

作　　者：田国强 李双建 TIAN Guoqiang;LI Shuangjian(Institute for Advanced Research,Shanghai University of Finance and Economics;Department of Economics,Texas A&M University)

机构地区：[1]上海财经大学高等研究院,200433 [2]美国德州A&M大学经济系

出　　处：《经济研究》2020年第11期19-35,共17页Economic Research Journal

基　　金：上海财经大学数理经济学教育部重点实验室、国家自然科学基金应急管理项目“宏观经济政策组合与系统性金融风险的防范和化解——基于大型准结构一般均衡模型的模拟分析”(71850002);上海财经大学国家级课题后续研究项目(2017110444);上海高峰学科创新团队项目(201811072)的资助。

摘　　要：立足于中国经济政策不确定性环境特征和银行经营实践状况,本文系统梳理了经济政策不确定性影响银行流动性创造的内在机理,并利用2007—2019年中国174家商业银行非平衡面板数据对理论假说进行实证检验。经验结果显示,经济政策不确定性会显著抑制银行流动性创造,该结论在考虑潜在的内生性问题以及进行一系列稳健性检验后依然成立。异质性检验表明,经济政策不确定性对规模较小、资本充足率较低、市场势力较弱以及区域性银行流动性创造的负向影响更为明显;中介效应模型检验结果显示,提高贷款损失准备金是经济政策不确定性影响银行流动性创造的重要渠道。本文研究还发现,经济政策不确定性对银行流动性创造的影响表现为既降低了表内流动性创造又降低了表外流动性创造。同时,随着银行流动性创造水平的提高,经济政策不确定性对银行流动性创造的负向影响呈现“非对称U型”结构变化。据此,本文认为在新冠肺炎疫情导致经济政策频繁调整的背景下,确保银行等市场主体形成稳定合理的政策预期,才是提高银行流动性创造水平的关键所在。In recent years,the declining ability of banking sectors to serve the real economy has reflected a deep-seated problem,namely the insufficient creation of liquidity by banks.Therefore,it is essential to achieve a benign interaction between finance and the real economy by exploring the factors that block such interaction.As important intermediaries for the implementation of macroeconomic policies and as key links between various economic sectors,banks are innately more sensitive to economic policy uncertainty than other economic entities.Therefore,the question arises of how uncertainty regarding China's economic policies affects the banks creation of liquidity.In the context of the raging COVID-19 epidemic that has caused great economic policy uncertainty,answering this question may provide a key breakthrough for easing the current difficulties in financing the real economy.The answers may help to improve the quality and efficiency of the banking sector in serving the real economy and may alleviate the impact of the epidemic.This paper examines the characteristics of China's uncertainty over economic policy and the status of bank operations.It analyzes the unbalanced panel data of 174 commercial banks in China from 2007 to 2019 and then explores the effects and mechanisms by which uncertainty over economic policy affects the banks creation of liquidity.The main findings are as follows:(1)The rise of economic policy uncertainty can significantly inhibit the banks creation of liquidity.(2)Economic policy uncertainty has a more negative effect on liquidity creation by small banks,banks with low capital adequacy ratios,banks with weak market power,and regional banks.(3)The results of a test of a mediating effect model'show that increasing the loan loss reserves provides an important channel through which economic policy uncertainty can affect the banks creation of liquidity.(4)An increase in policy uncertainty can significantly inhibit the creation of on-balance sheet liquidity and can greatly reduce the creation of o

关 键 词：经济政策不确定性 银行流动性创造 银行异质性 中介效应 

分 类 号：F832.33[经济管理—金融学] F120