经济政策不确定性是否会影响银行系统性风险?

Does economic policy uncertainty affect banking systemic risk?

文章选取2010-2020年中国16家上市银行年度数据,构建面板回归模型对经济政策不确定性对银行系统性风险的影响及其作用机制进行了实证分析.研究表明:1)经济政策不确定性对银行系统性风险具有促进作用.相对于国有银行部门,经济政策不确定性对非国有银行部门系统性风险的促进力度更大.2)风险承担、净利差及同业业务在经济政策不确定性与银行系统性风险的关系中承担着中介作用.经济政策不确定性主要通过加大银行风险承担、缩窄净利差及扩大同业业务规模来促进银行系统性风险,“经济政策不确定性-风险承担/净利差/同业业务-银行系统性风险”的传导渠道有效.3)银行家乐观度与资本监管对经济政策不确定性与银行系统性风险的关系均具有负向调节作用,银行家乐观度与资本监管力度的提高均会减弱经济政策不确定性对银行系统性风险的促进作用.该成果将为防控中国银行业系统性风险提供重要的理论指导与决策参考.

This paper constructs a panel model to conduct an empirical analysis on the influence of economic policy uncertainty on the banking systemic risk and its mechanism based on the annual data of 16 listed banks in China from 2010 to 2020.The research shows that:1) Economic policy uncertainty has a positive effect on banking systemic risk.Compared with state-owned banking sector,economic policy uncertainty has more positive influence on non-state-owned banking sector.2) Risk-taking,net interest margin and inter-bank business play a mediating role in the relationship between economic policy uncertainty and systemic risk of banks.Economic policy uncertainty can promote systemic risk of banks mainly by increasing bank risk-taking,narrowing net interest margin and expanding the scale of inter-bank business.The transmission channel of "economic policy uncertainty-risk-taking/net interest margin/interbank business-banking systemic risk" are effective.3) Both bankers’ optimism and capital regulation have a negative moderating effect on the relationship between economic policy uncertainty and banking systemic risk,and the improvement of bankers’ optimism and capital regulation will weaken the promoting effect of economic policy uncertainty on banking systemic risk.