金属类大宗商品价格波动与银行风险承担研究——基于中国上市银行面板数据

Research on the Price Fluctuation of Metal Commodities and the Risk——Taking of Banks

本文以16家中国上市银行2010年一季度至2021年三季度的面板数据为研究样本,基于4种金属类大宗商品,实证分析了大宗商品价格波动对银行风险承担的影响。结果表明:金属类大宗商品价格波动越大,银行风险承担越大。在宏观经济层面、银行特征层面共同作用下,金属类大宗商品价格波动对银行风险承担正向冲击效应减弱。文中进一步研究发现,在经济政策不确定性冲击下,金属类大宗商品价格波动对银行风险承担的正向冲击效应增强。在其他不确定性冲击下,金属类大宗商品价格波动对银行风险承担的影响冲击效应表现各有不同。

This paper takes the panel data of 16 Chinese listed banks from the first quarter of 2010 to the third quarter of 2021 as research samples,and based on four metal commodities,empirically analyzes the impact of commodity price fluctuations on banks’risk-taking.The results show that the greater the price fluctuation of metal commodities,the greater the risk-taking of banks.Under the combined effect of the macroeconomic level and the bank characteristics level,the positive impact of metal commodity price fluctuations on banks’risk-taking has weakened.Further research finds that under the impact of economic policy uncertainty,the positive impact of metal commodity price fluctuations on banks’risk-taking is enhanced.Under the shock of other uncertainties,the impact of metal commodity price fluctuations on banks’risk-taking has different shock effects.