Abstract:

This paper makes a theoretical analysis of and an empirical research on how the economic policy uncertainty affects the bank risk-taking channel of the monetary policy. The empirical results confirm the existence of the bank risk-taking channel, but the impact of the monetary policy on this channel is weakened by the economic policy uncertainty, thus blocking the monetary policy transmission. Moreover, the weakening effect of the policy uncertainty is stronger in the economic upward period than in the economic downward period, and stronger in the monetary policy expansion period than in the monetary policy tightening period. This research proves the existence of the blocking effect of the economic policy uncertainty on the “pure bank risk-taking channel” of the monetary policy. These findings indicate that reducing the economic policy uncertainty is conducive to perfecting the transmission mechanism of the monetary policy.

Key words: Economic Policy Uncertainty, Bank Risk-taking Channel, Cyclical Asymmetry, Channel Identification

摘要：

本文研究了经济政策不确定性如何影响货币政策的银行风险承担传导渠道,结果发现:经济政策不确定性会削弱货币政策对银行风险承担的影响,从而阻梗这一渠道的传导;这种阻梗效应在经济上行期比经济下行期更强,在货币政策扩张期比货币政策紧缩期更强;通过“渠道识别”得到“纯银行风险承担渠道”,经济政策不确定性对“纯银行风险承担渠道”的阻梗效应依然存在。研究结果说明,降低经济政策不确定性有助于疏通货币政策传导机制。

关键词: 经济政策不确定性, 银行风险承担渠道, 周期非对称性, 渠道识别