Collected Essays on Finance and Economics ›› 2021, Vol. 37 ›› Issue (10): 47-57.

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Economic Policy Uncertainty and the Bank Risk-taking Channel

HE Yunxin, LUO Liang, HU Xingning, WANG Congcong   

  1. School of finance, Zhejiang University of Finance and Economics, Hangzhou 310018, China
  • Received:2021-01-26 Online:2021-10-10 Published:2021-09-30

经济政策不确定性对银行风险承担渠道的阻梗效应研究

何运信, 骆亮, 胡兴宁, 王聪聪   

  1. 浙江财经大学金融学院,浙江 杭州 310018
  • 作者简介:何运信(1970—),男,湖南郴州人,浙江财经大学金融学院教授,浙江省新型高校智库金融创新与普惠金融研究中心教授,博士生导师;
    骆亮(1996—),男,浙江杭州人,浙江财经大学金融学院硕士生;
    胡兴宁(1994—),男,浙江嘉兴人,浙江财经大学金融学院硕士生;
    王聪聪(1980—),男,浙江杭州人,浙江财经大学金融学院教授。
  • 基金资助:
    国家自然科学基金项目(71773105);教育部人文社会科学基金项目(19YJAZH120);教育部人文社会科学基金项目(19YJA790081);浙江省自然科学基金项目(LY17G030024);国家社会科学基金项目(20BJL147)

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

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