货币政策不确定性对银行业风险的影响——基于银行业景气度视角的实证研究

Effects of Monetary Policy Uncertainty on Banking Risk:an Empirical Study Based on the Perspective of Banking Boom

选取2010—2018年中国122家商业银行的微观面板数据,使用固定效应模型研究货币政策不确定性对银行业风险的影响机制和效果。结果表明:首先,货币政策不确定性会对银行业风险产生较大的正向影响,银行业景气指数上升会减弱两者之间的影响;其次,货币政策不确定性对国有银行风险的影响微乎其微,而对非国有银行风险的影响较为显著;最后,货币政策不确定性升高在增大银行业风险的同时,也会加速降低银行业景气度,并对整个银行业产生重大影响。

This paper selects the micro panel data of 122 commercial banks in China from2010 to 2018 to study the impact mechanism and effect of monetary policy uncertainty on banking risk.First,the results show that monetary policy uncertainty has a significant positive impact on banking risk,and the impact between the two will be weakened when the banking boom rises.Secondly,the impact of monetary policy uncertainty on the risk of state-owned banks is negligible,while the increase of the risk of non-state-owned banks is more significant.Further research shows that the increase of monetary policy uncertainty increases the banking risk,but also accelerates the reduction of the banking boom and has a significant impact on the whole banking industry.