Abstract: It is crucial to investigate how economic policy uncertainty influences banks' risk-taking and to understand the role of digital transformation in moderating this relationship. This paper explores the impact of economic policy uncertainty on banks' risk-taking and the moderating effect of digital transformation in banks. It develops a loan pricing and supervisory model for a typical bank and analyzes the data from Chinese commercial banks spanning 2011-2021. The findings reveal that banks' risk-taking has an inverted U-shaped relationship with economic policy uncertainty. Compared to larger banks, the risk-taking of small and medium-sized banks declines sooner as economic policy uncertainty increases. Furthermore, banks with a higher degree of digital transformation reduce their risk-taking earlier in response to the increased economic policy uncertainty. This effect is primarily observed in large banks, attributable to variations in the extent of digital transformation across the banking sector.
Combining theoretical analysis with empirical findings, this paper offers three recommendations. First, government departments should strive to maintain policy continuity and enhance the pre-announcement communication mechanism to effectively guide market expectations and thus reduce policy uncertainty. Second, considering that digital transformation in banks can effectively cushion the adverse impacts of economic policy uncertainty, regulatory authorities might use the degree of digital transformation as a reference indicator when assessing banks additionally. Third, given that small and medium-sized banks have limited capital strength and smaller scales, which hinder their ability to achieve scale effects through digital transformation, the central bank should focus on developing support policies for the digital transformation of these smaller institutions.
The added values of this paper are threefold: First, it introduces economic policy uncertainty into the bank loan pricing and supervision model, examining the nonlinear effect of economic policy uncertainty on banks' risk-taking, and conducting meticulous empirical tests. This expands the research related to economic policy uncertainty and banks' risk-taking. Second, the paper theorizes the role mechanism of digital transformation in banks, exploring how digital transformation moderates the impact of economic policy uncertainty on banks' risk-taking through the lens of banks' credit decision-making. This enriches the body of research related to the economic effects of digital transformation in banks. Third, it offers new insights into how banks can manage economic policy uncertainty at a practical level. Given that digital transformation can mitigate the adverse effects of policy uncertainty, both regulators and banks should promote digital transformation within the banking sector.

Key words: Economic Policy Uncertainty, Digital Transformation in Banks, Risk-taking, Inverse U-shaped Relationship

摘要： 将经济政策不确定性和银行数字化转型引入银行贷款定价与监督模型,并选取2011—2021年中国商业银行微观数据,从理论和实证两个层面研究了经济政策不确定性对银行风险承担的影响,以及银行数字化转型在其中所起的调节作用。研究发现:(1)银行风险承担与经济政策不确定性之间呈倒U型关系;相比大银行,中小银行的风险承担会更早随经济政策不确定性的增加而下降。(2)银行数字化转型程度越高,银行会越早随着经济政策不确定性的增加而降低风险承担;受当前银行数字化转型程度差异的影响,上述效应目前主要体现在大银行层面。以上结果对相关部门进一步防范化解银行业风险和推动银行数字化转型具有一定的参考价值和政策启示。

关键词: 经济政策不确定性, 银行数字化转型, 风险承担, 倒U型关系