世界经济 ›› 2019, Vol. 42 ›› Issue (11): 148-171.

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中国经济政策不确定性与银行风险承担

顾海峰, 于家珺   

  1. 东华大学旭日工商管理学院 上海市延安西路1882号 200051
  • 出版日期:2019-11-10 发布日期:2019-11-20
  • 作者简介:顾海峰,电子信箱:guhaifeng@dhu.edu.cn;于家珺,电子信箱:dhuyjj@163.com
  • 基金资助:
    国家社会科学基金一般项目"银保协作模式下商业银行信用风险的生成、监测与防控研究"(13BGL041)的资助。

China's Economic Policy Uncertainty and Bank's Risk-Taking

Gu Haifeng, Yu Jiajun   

  • Online:2019-11-10 Published:2019-11-20

摘要: 本文选取2006-2017年中国219家商业银行的微观面板数据,研究经济政策不确定性对银行两类风险承担行为及破产风险的影响。研究结果表明,经济政策不确定性上升会削弱银行主动风险承担,但会加剧银行的被动风险承担及破产风险。信贷环境景气度提升对经济政策不确定性的影响有平抑效果;行业集中度提高则会加剧经济政策不确定性对银行被动风险承担及破产风险的助推作用;银行资本充足率与流动性水平的升高均会削弱经济政策不确定性对银行主动风险承担的抑制作用。主动风险承担方面,经济政策不确定性对股份制银行与农商行的抑制力度大于对城商行的抑制力度,但对国有银行存在助推作用;被动风险承担方面,经济政策不确定性对城商行与股份制银行的助推力度大于对农商行与国有银行的助推力度。

关键词: 经济政策不确定性, 银行风险承担, 调节效应, 银行异质性

Abstract: This paper employs the bank-level panel micro-data of 219 commercial banks in China between 2006 and 2017 to test the impact of economic policy uncertainty on two types of bank risk-taking behaviours as well as bank insolvency risk. The results show that: (i) increased economic policy uncertainty weakens banks' proactive risk-taking, but aggravates their passive risk-taking and bank insolvency risk; (ii) increasing the prosperity of the credit environment can mitigate the impact of economic policy uncertainty; (iii) escalation of the industry concentration level may exacerbate the growing role of economic policy uncertainty in the passive risk-taking and insolvency risk of banks; and (iv) an increase in banks' capital adequacy and liquidity level reduces the decreasing impact of economic policy uncertainty on bank proactive risk-taking. In terms of proactive risk-taking, economic policy uncertainty exerts a stronger decreasing effect on joint-stock and rural commercial banks than on city commercial banks; however, it has the effect of boosting state-owned banks. In terms of passive risk-taking, on the other hand, it generates a stronger increasing effect on city and joint-stock commercial banks than on rural and state-owned commercial banks.

Key words: economic policy uncertainty, bank risk-taking, mediating effect, bank heterogeneity

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