经济政策不确定性对上市商业银行风险承担的影响研究

Research on the Influence of Economic Policy Uncertainty on the Risk-Taking of Listed Commercial Banks

摘要: 根据2013年至2022年上市商业银行的平衡面板数据，使用经济政策不确定性指数(EPU)作为核心解释变量，分析经济政策不确定性对商业银行风险承担的影响。研究发现，提高经济政策不确定性会增加商业银行的风险承担水平，尤其是在不同类型的商业银行中存在显著的异质性。对国有商业银行的影响最大，其次是全国性的股份制商业银行和城市商业银行，农村商业银行受到的影响是最小的；商业银行的资本充足率(CAR)对商业银行风险承担有显著的负向关系；宏观层面的因素会影响商业银行的风险承担；商业银行自身的因素也会影响其风险承担。进一步研究发现，商业银行的总资产收益率(ROA)在经济政策不确定性对商业银行风险承担的影响中发挥了中介作用。商业银行是我国金融的重要组成部分，在加强金融监管，要牢牢守住不发生系统性风险红线的背景下，研究经济政策不确定性对商业银行风险承担的影响，为国家政策制定和商业银行风险管理提供一定的参考和建议。

Abstract: Based on the balance sheet data of listed commercial banks from 2013 to 2022, this paper uses the Economic Policy Uncertainty Index (EPU) as the core explanatory variable to analyze the mechanism and effect of economic policy uncertainty on commercial banks’ risk taking. The research shows that increasing the uncertainty of economic policy will increase the risk-taking level of commercial banks, especially there is significant heterogeneity in different types of commercial banks. It has the greatest impact on state-owned commercial banks, followed by national joint-stock commercial banks and city commercial banks, and rural commercial banks have the least impact; The capital adequacy ratio (CAR) of commercial banks has a significant negative relationship with the risk-taking of commercial banks. Macro-level factors will affect the risk-taking of business impact; Commercial banks’ own factors will also affect risk taking. Further research shows that return on total assets (ROA) of commercial banks plays an intermediary role in the impact of economic policy uncertainty on commercial banks’ risk taking. Commercial banks are an important part of China’s finance. Under the background of strengthening financial supervision and keeping the red line of systematic risk firmly, this paper studies the influence of economic policy uncertainty on commercial banks’ risk taking, and provides some reference and suggestions for national policy formulation and commercial banks’ risk management.