【摘要】 立足于中国经济政策不确定性环境特征和银行经营实践状况,本文系统梳理了经济政策不确定性影响银行流动性创造的内在机理,并利用2007—2019年中国174家商业银行非平衡面板数据对理论假说进行实证检验。经验结果显示,经济政策不确定性会显著抑制银行流动性创造,该结论在考虑潜在的内生性问题以及进行一系列稳健性检验后依然成立。异质性检验表明,经济政策不确定性对规模较小、资本充足率较低、市场势力较弱以及区域性银行流动性创造的负向影响更为明显;中介效应模型检验结果显示,提高贷款损失准备金是经济政策不确定性影响银行流动性创造的重要渠道。本文研究还发现,经济政策不确定性对银行流动性创造的影响表现为既降低了表内流动性创造又降低了表外流动性创造。同时,随着银行流动性创造水平的提高,经济政策不确定性对银行流动性创造的负向影响呈现"非对称U型"结构变化。据此,本文认为在新冠肺炎疫情导致经济政策频繁调整的背景下,确保银行等市场主体形成稳定合理的政策预期,才是提高银行流动性创造水平的关键所在。更多还原

【Abstract】 In recent years, the declining ability of banking sectors to serve the real economy has reflected a deep-seated problem, namely the insufficient creation of liquidity by banks. Therefore, it is essential to achieve a benign interaction between finance and the real economy by exploring the factors that block such interaction. As important intermediaries for the implementation of macroeconomic policies and as key links between various economic sectors, banks are innately more sensitive to economic policy uncertainty than other economic entities. Therefore, the question arises of how uncertainty regarding China’s economic policies affects the banks’ creation of liquidity. In the context of the raging COVID-19 epidemic that has caused great economic policy uncertainty, answering this question may provide a key breakthrough for easing the current difficulties in financing the real economy. The answers may help to improve the quality and efficiency of the banking sector in serving the real economy and may alleviate the impact of the epidemic.This paper examines the characteristics of China’s uncertainty over economic policy and the status of bank operations. It analyzes the unbalanced panel data of 174 commercial banks in China from 2007 to 2019 and then explores the effects and mechanisms by which uncertainty over economic policy affects the banks’ creation of liquidity. The main findings are as follows:(1) The rise of economic policy uncertainty can significantly inhibit the banks’ creation of liquidity.(2) Economic policy uncertainty has a more negative effect on liquidity creation by small banks, banks with low capital adequacy ratios, banks with weak market power, and regional banks.(3) The results of a test of a mediating effect model show that increasing the loan loss reserves provides an important channel through which economic policy uncertainty can affect the banks’ creation of liquidity.(4) An increase in policy uncertainty can significantly inhibit the creation of on-balance sheet liquidity and can greatly reduce the creation of off-balance sheet liquidity.(5) With an enhanced level of liquidity creation by banks, the marginal effects of uncertainty over economic policy present an asymmetric U-shaped structural change.This paper makes three main contributions to the literature. First, the research framework of this paper differs from previous research frameworks in that it takes the interaction between banks and the real economy’s asset liability business as the starting point. This approach integrates research on the effects of uncertainty over economic policy with research on the creation of bank liquidity. The paper’s second contribution is to explore the heterogeneity of means for creating liquidity between different banking sectors in response to economic policy uncertainty. This analysis considers the characteristics of China’s economic policy environment and the practices of bank operations. A third contribution of this paper is that it systematically analyzes the effects of economic policy uncertainty on bank liquidity. The findings indicate new possibilities for easing the difficulties of financing the real economy and for improving the quality and efficiency of banking sectors in serving the real economy.This paperfinds that in the context of frequent adjustments to economic policy due to the COVID-19 epidemic, policy makers should take short-term measures to enhance the transparency and predictability of policy formation and implementation. In that case, banks and other market agents will be better able to fully grasp the implications of economic policy and will be able to form stable, reasonable expectations accordingly. Banks need to use their own characteristics such as scale and business scope. They should actively seek distinctive, differentiated paths of growth, thereby gradually gaining unique competitive advantages and building their capacities for rapid development as they serve the real economy. At the same time, the regulatory authorities need to continue improving the multi-level, systematic banking regulatory framework. This framework can add indicators such as loan loss reserves and bank liquidity creation into the scope of supervision to better enable development of the real economy. In the long term, the authorities should emphasize scientificity, credibility, and continuity in policy making. They should conduct proper top-level design and overall planning to effectively promote the formation of a stable incentive-compatible relationship between the independent operations of banks and their services to the real economy.更多还原