经济政策不确定性会降低商业银行流动性创造水平吗?——基于银行业的经验证据  

Does Economic Policy Uncertainty Reduce the Level of Liquidity Creation of Commercial Banks?—Empirical Evidence based on the Banking Industry

作　　者：喻微锋 康琦 YU Weifeng;KANG Qi(School of Big Data Application and Economics(Guiyang Big Data Finance College),Guizhou University of Finance and Economics,Guiyang 550025,China;School of Finance,Nankai University,Tianjin 300381,China)

机构地区：[1]贵州财经大学大数据应用与经济学院(贵阳大数据金融学院),贵州贵阳550025 [2]南开大学金融学院,天津300381

出　　处：《当代经济科学》2021年第6期52-64,共13页Modern Economic Science

基　　金：国家社会科学基金项目“数字普惠金融视域下西南民族地区防返贫监测及长效帮扶机制研究”(21BMZ029)。

摘　　要：商业银行作为各类宏观经济政策的重要传导部门,其行为更易受到不确定性的影响。基于230家中国商业银行2005—2019年的非平衡面板数据,采用动态面板技术探究经济政策不确定性对商业银行流动性创造水平的影响。研究结果表明:(1)经济政策不确定性显著降低银行流动性创造水平,在考虑内生性及进行稳健性检验后该结论仍成立;(2)相对于大规模、高资本充足率和国有银行而言,中小型、低资本充足率和非国有银行流动性创造水平所受经济政策不确定性的负向影响程度更大;(3)经济政策不确定性显著降低银行表内流动性创造水平,但对表外流动性创造水平的负向影响不显著;(4)机制检验表明,经济政策不确定性主要通过增大银行经营风险、提高银行贷款损失准备金和降低储户预期三条途径显著降低银行流动性创造水平;(5)分地区研究发现,相较于东部地区而言,经济政策不确定性对中西部地区银行流动性创造水平的负向影响更为明显。As an important transmission channel of various macroeconomic policies,commercial banks’behaviors are more vulnerable to the influence of uncertainty.Based on the unbalanced panel data of 230 Chinese commercial banks from 2005 to 2019,this paper uses dynamic panel technology to explore the influence of economic policy uncertainty on the liquidity creation level of commercial banks.The results show that:(1)Economic policy uncertainty significantly reduces the level of bank liquidity creation,which is still true after considering endogeneity and robustness test;(2)Compared with large,high capital adequacy ratio and state-owned banks,the liquidity creation level of small and medium-sized banks,low capital adequacy ratio and non-state-owned banks are more negatively affected by economic policy uncertainty;(3)Economic policy uncertainty significantly reduces the level of on-balance sheet liquidity creation,but has no significant negative impact on the level of off-balance sheet liquidity creation;(4)The mechanism test shows that economic policy uncertainty significantly reduces the level of bank liquidity creation through three ways:increasing bank operating risks,increasing bank loan loss reserves and reducing depositors’expectations;(5)According to regional research,compared with the eastern region,the negative impact of economic policy uncertainty on the liquidity creation level of banks in central and western regions is more obvious.

关 键 词：政策不确定性 商业银行 流动性创造 经营风险 贷款损失准备金 储户预期 

分 类 号：F83[经济管理—金融学]