经济政策不确定性下的银行资本缓冲行为研究

Banks’ Capital Buffer Behavior under Economic Policy Uncertainty

本文构建包含金融部门和政府部门在内的动态随机一般均衡(DSGE)模型,系统诠释了经济政策不确定性对银行资本缓冲行为的影响及作用渠道。随后,本文利用2007—2019年中国182家商业银行非平衡面板数据,对理论研究结论进行实证检验,结果显示:经济政策不确定性上升会显著降低银行资本缓冲水平,对银行资本缓冲的负向影响是通过降低银行资本金和增加风险加权资产共同驱动的。异质性分析发现:经济政策不确定性对银行资本缓冲的影响在小规模银行、地方性银行、非上市银行以及未引入境外战略投资者银行中更加明显。据此,本文认为,在新发展格局下,提高经济政策的可预期性能够有效促使银行持有资本缓冲以增强自身风险承担的能力,对完善资本监管框架和维护金融体系稳定具有重要实践价值。

In recent years, China’s economic policy uncertainty has been at an all-time high. As an important hub for communication between the real economy and the financial system, banks are important transmission channels and implementation intermediaries for various economic policies, and are destined to be more sensitive to economic policy uncertainty than other economic entities. Therefore, devoting to exploring the impact of economic policy uncertainty on banks’ capital buffer behavior can provide reference and empirical data support for improving capital supervision policies and maintaining the stability of the financial system, which is of great theoretical and practical value.Based on the unprecedentedly high level of uncertainty in China’s economic policies and the actual state of bank operations, this article establishes the relationship between economic policy uncertainty and banks’ capital buffer in a multi-sector dynamic stochastic general equilibrium(DSGE) model, and systematically explains the impact of economic policy uncertainty on banks’ capital buffer behavior as well as the transmission channels. Then the article uses the unbalanced panel data of 182 commercial banks in China from 2007 to 2019 to conduct empirical test on theoretical conclusions. The empirical results show that rising economic policy uncertainty will significantly reduce the level of banks’ capital buffer. The effect channel test shows that the impact of rising economic policy uncertainty on banks’ capital buffer is jointly driven by reducing bank capital and increasing risk-weighted assets. Furthermore, the analysis of heterogeneity finds that the impact of economic policy uncertainty on banks’ capital buffer is more pronounced in small-scale banks, local banks, non-listed banks, and banks that have not introduced foreign strategic investors.Based on the above results, this article concludes that improving the predictability of economic policies under the new development pattern can effectively encourage banks to hold capital buffers to enhance their risk-taking ability, help improve the capital regulatory framework and maintain the stability of the financial system.