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.
Key words
Economic Policy Uncertainty /
Capital Buffers /
Bank Heterogeneity /
DSGE Model
{{custom_keyword}} /
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
References
[1] 黄宪,熊启跃. 银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据[J]. 国际金融研究,2013(1):52-65
[2] 蒋海,张小林,陈创练. 利率市场化进程中商业银行的资本缓冲行为[J]. 中国工业经济,2018(11):34-47
[3] 李文泓,罗猛. 关于我国商业银行资本充足率顺周期性的实证研究[J]. 金融研究,2010(2):147-157
[4] 梁琪,党宇峰. 我国银行业资本缓冲的周期性及其经济效应研究——基于银行信贷供给机制的视角[J]. 财贸经济,2013(5):36-46
[5] 申宇,任美旭,赵静梅. 经济政策不确定性与银行贷款损失准备计提[J]. 中国工业经济,2020(4):154-173
[6] 田国强,李双建. 经济政策不确定性与银行流动性创造:来自中国的经验证据[J]. 经济研究,2020(11):19-35
[7] 熊启跃,张文婧. 巴塞尔Ⅲ资本监管影响机制研究——基于国际大型银行资本充足率变动的视角[J]. 国际金融研究,2021(2):43-54
[8] 杨新兰. 资本监管约束下的银行最适资本缓冲研究[J]. 国际金融研究,2018(7):53-63
[9] 易纲. 再论中国金融资产结构及政策含义[J]. 经济研究,2020(3):4-17
[10] 张琳,廉永辉. 我国商业银行资本缓冲周期性研究——基于银行资本补充能力的视角[J]. 管理世界,2015(7):42-53
[11] 钟永红,张卫国. 资本监管约束下银行行为调整的动态特征分析. 统计研究,2018(4):53-63
[12] Berger A N.The Relationship between Capital and Earnings in Banking[J]. Journal of Money, Credit & Banking,1995,27(2):432-456
[13] Berger A N,DeYoung R,Flannery M J,Lee D,Öztekin Ö. How Do Large Banking Organizations Manage Their Capital Ratios?[J]. Journal of Financial Services Research,2008,34(2):123-149
[14] Born B,Pfeifer J.Policy Risk and the Business Cycle[J]. Journal of Monetary Economics,2014,68(11):68-85
[15] Gertler M,Karadi P.A Model of Unconventional Monetary Policy[J]. Journal of Monetary Economics,2011,58(1):17-34
[16] Grosse S,Schumann E.Cyclical Behavior of German Banks' Capital Resources and the Countercyclical Buffer of Basel III[J]. European Journal of Political Economy,2014,34(6):40-44
[17] Huang Y,Luk P.Measuring Economic Policy Uncertainty in China[J]. China Economic Review,2020,59(2):1-18
[18] Jokipii T,Milne A.Bank Capital Buffer and Risk Adjustment Decisions[J]. Journal of Financial Stability, 2011, 7(3): 165-178
[19] Klein P,Maidl C,Woyand C.Bank Ownership and Capital Buffers: How Internal Control Is Affected by External Governance[J]. Journal of Financial Stability,2021,54(6):57-85
[20] Maatoug A B,Ayed W B,Ftiti Z.Are MENA Banks' Capital Buffers Countercyclical? Evidence from the Islamic and Conventional Banking Systems[J]. Quarterly Review of Economics and Finance,2019,74(11):109-118
[21] Montagnoli A,Mouratidis K,Whyte K.Assessing the Cyclical Behavior of Bank Capital Buffers in a Finance-Augmented Macro-Economy[J]. Journal of International Money and Finance,2021,110(2):22-56
[22] Repullo R,Suarez J.The Procyclical Effects of Bank Capital Regulation[J]. Review of Financial Studies,2013,26(2):452-490
[23] Rubio M,Yao F. Bank Capital, Financial Stability and Basel Regulation in a Low Interest-Rate Environment[J]. International Review of Economics & Finance,2020,67:378-392
[24] Schroth J.Macroprudential Policy with Capital Buffers[J]. Journal of Monetary Economics,2021,118(3):296-311
[25] Shim J.Bank Capital Buffer and Portfolio Risk: The Influence of Business Cycle and Revenue Diversification[J]. Journal of Banking & Finance,2013,37(3):761-772
[26] Valencia F.Bank Capital and Uncertainty[J]. Journal of Banking & Finance,2016,69:S1-S9
[27] Valencia O C,Bolaños A O.Bank Capital Buffers around the World: Cyclical Patterns and the Effect of Market Power[J]. Journal of Financial Stability,2018,38(10):119-131
{{custom_fnGroup.title_en}}
Footnotes
{{custom_fn.content}}