货币政策不确定性对银行杠杆率影响研究

Research on the Influence of Monetary Policy Uncertainty on Bank Leverage Ratio

货币政策不确定性会对银行杠杆率产生影响。本文梳理了现有相关文献结论及研究方法,选取2003年至2019年中国26家上市商业银行数据进行研究,利用上海银行间同业拆放7日利率的波动情况作为货币政策不确定性代理变量进行回归。结果发现:货币政策不确定性对银行杠杆率有显著负面影响,特别是在自2008年第四季度实施的四万亿元经济刺激货币政策计划之后。之后使用文本挖掘法构造报纸指数进行稳健性检验,发现结果依然稳健。

Monetary policy uncertainty will affect bank leverage ratio.This paper combs the existing relevant literature conclusions and research methods,selects the data of 26 listed commercial banks in China from 2003 to 2019 for research,and uses the fluctuation of shibor for 7 days as the proxy variable of monetary policy uncertainty for regression.The regression results show that the uncertainty of monetary policy has a significant negative impact on bank leverage ratio,especially after the implementation of the 4 trillion yuan economic stimulus monetary policy plan in the fourth quarter of 2008.Then this paper uses text mining method to construct newspaper index for robustness test,and finds that the results are still robust.