银行股票收益率的宏观影响因素实证分析

Empirical Analysis of the Macro-Factors Influencing Bank Stock Returns

摘要: 本文对银行股票收益率的宏观影响因素进行了实证分析。基于面板数据，建立面板向量自回归(PVAR)模型，采用GMM方法估计模型系数，利用2019年至2022年的月度数据，对货币供应量、利率和新增信贷对银行股票收益率的中长期影响进行了研究分析。通过研究得到以下几点结论：1) 货币供应量和利率会对上市银行的股票收益率产生正向影响，新增信贷对上市银行的股票收益率产生负向影响；2) 新增信贷对上市银行的股票收益率的影响要大于货币供应量的影响，货币供应量对上市银行的股票收益率的影响要大于利率的影响；3) 货币供应量、利率和新增信贷对非国有银行的股票收益率的影响大于对国有银行的影响。

Abstract: This paper conducts an empirical analysis of the macroeconomic factors influencing bank stock returns. Using panel data, a Panel Vector Autoregression (PVAR) model was established with coefficients estimated via the Generalized Method of Moments (GMM). Utilizing monthly data from 2019 to 2022, the study examines the medium-and long-term effects of money supply, interest rates, and new credit on bank stock returns. The findings reveal three key conclusions: 1) Money supply and interest rates have a positive impact on the stock returns of listed banks, whereas new credit has a negative impact on the stock returns of listed banks; 2) The effect of new credit on the stock returns of listed banks exceeds that of money supply, while the influence of money supply on the stock returns of listed banks surpasses that of interest rates; 3) The impacts of money supply, interest rates, and new credit on non-state-owned banks’ stock returns are greater than those on state-owned banks.