经济政策不确定性与商业银行风险承担——银行业竞争度与景气度的调节作用
摘 要
当今时代，国际形势错综复杂，国内正处在新常态背景下深化改革关键期。面对国
内外诸多不确定性因素对经济环境的冲击，我国政府从不同角度、方向，以不同频率进
行了积极的宏观调控措施，相应的经济政策环境面临着一定程度上的不确定性。商业银
行体系作为经济政策发挥作用的重要支撑点，其风险承担行为理应受到政策不确定性的
影响，进而加大了经济整体复苏的目标的完成难度。
本文对国内外学者关于经济政策不确定性对宏观经济和微观企业影响的研究成果
进行了梳理，结合我国具体实际情况进行了现状分析，并从理论层面阐述了经济政策不
确定性影响商业银行风险承担的机理，进而提出了相应假设。本文基于 2008—2018年
41家 A股上市银行层面数据，采用经济政策不确定性指数（ cepu）作为中国宏观经济
政策不确定性的代理变量，考察了不同经济政策不确定性对银行的两类风险承担行为及
破产风险的影响。本文从中观层面——行业结构视角出发，选取银行市场势力与行业景
气度指数，探究了银行中观层面指标在前述影响过程中是否存在调节效应。进一步分析
中，本文按照股权性质、经营范围和所在区域差异将样本银行划分组别，考察了前述影
响在异质性银行间是否存在显著差异。此外，本文利用中介效应检验法，证明了贷款损
失准备金计提变量在前述影响中的中介效应。最后从我国国情出发，分别从政府和银行
角度提出了相关对策建议。
本文主要研究结论如下：（1）经济政策不确定性将促进银行主动风险承担，而削弱
银行被动风险承担和破产风险概率；（2）从行业层面视角出发，银行市场势力和行业景
气度会促进政策不确定性对银行主动风险的正向作用，但会削弱政策不确定性对银行被
动风险和破产风险的负向作用；（3）银行贷款拨备率将作为中介变量，承接经济政策不
确定性对银行风险承担产生的影响；（4）异质性分析发现，经济政策不确定性上升对国
有行主动风险承担的正向作用弱于其他银行，对国有行被动风险承担的负向影响显著高
于其他银行；经济政策不确定性上升对地方性银行主动风险承担的正向作用强于全国性
银行，对地方性银行被动风险承担的负向作用弱于全国性银行；经济政策不确定性上升
对东部与中部地区银行主动风险承担的正向影响较强，对东部地区银行被动风险承担具
有显著负向影响，但对中部地区银行被动风险承担具有显著正向影响。
为减弱不确定性带来的冲击影响，有效防控金融系统性风险，提升金融安全能力，
本文认为政府应致力于完善经济政策不确定性预警系统，合理运用宏观政策调节手段，
注重政策影响解读与公众沟通，加强资本市场监管力度；同时商业银行自身也应加强创
新，提高核心竞争力，健全银行内部风险识别控制系统，以维持经营策略的高度稳健性。
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摘
要
关键词：经济政策不确定性；商业银行；风险承担；银行业结构；调节效应
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经济政策不确定性与商业银行风险承担——银行业竞争度与景气度的调节作用
Abstract
In modern time the international situation is complex, and China is in a critical period of
deepening reforms under the background of the new normal. In order to cope with the
interference of many uncertain factors on Chinese economic environment, the government has
actively carried out a variety of macro-control actions from different directions and at
different frequencies, which in turn caused uncertainties to economic policy adjustments. As
the commercial banking system plays an important role in economic policy, the risk-taking
behavior of banks may also be affected by policy uncertainty, which in turn increases the
difficulty of accomplishing the goal of overall economic recovery.
This article sorts out the research results of domestic and foreign scholars on the impact
of economic policy uncertainty on the macro economy and micro enterprises, analyzes the
current situation in combination with the actual situation in China, and expounds the impact
of economic policy uncertainty on the risk of commercial banks from a theoretical level, and
then puts forward the corresponding hypothesis. This article uses the economic policy
uncertainty index (cepu) as the proxy variable of China’s economic policy uncertainty, and
examines the impact of different economic policy uncertainties on banks’ two types of
risk-taking behaviors and bankruptcy risks, based on the data of 41 listed banks from 2008 to
2018. From the perspective of the meso-level-industry structure, this article selects the
variables of the bank’s marketing power and bank business prosperity index to explore
whether these indicators have a moderating effect in the aforementioned influence process. In
further analysis, this article divides the sample banks into groups according to the nature of
equity, business scope, and regional differences, and then examines whether there are
significantly different impacts among heterogeneous banks. In addition, this article explores
whether there is an intermediary effect of loan loss reserve provision in the aforementioned
influence process. Finally, starting from China's national conditions, this article puts forward
relevant countermeasures and suggestions from the perspective of the government and the
banks.
The main research conclusions of this article are as follows: (1) Economic policy
uncertainty has a positive effect on banks’ active risk-taking, but has a negative effect on
banks’ passive risk-taking and bankruptcy risks; (2) From the perspective of banking industry
structure, marketing power and bank business prosperity will promote the positive effect of
policy uncertainty on banks’ active risks, but it will weaken the negative effect of policy
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