Economic Uncertainty and Bank Lending
研究发现，以方差风险溢价衡量的经济不确定性显著影响银行贷款的供给与需求，导致贷款利差上升、规模与期限缩小，且在经济衰退期影响更严重。
Abstract This paper shows that economic uncertainty proxied by the variance risk premium (VRP) has an important explanatory power for bank credit supply and demand. Higher VRP exerts a negative influence on both loan demand and supply, increases loan spreads, reduces loan size and maturity, and increases the proportion of collateralized loans. These effects are substantive in the syndicated loan market and are worse off during economic recessions. Upon isolating the effect of uncertainty on bank credit supply from loan demand, we find that VRP dominates credit supply, which suggests that bank credit shortages can potentially aggravate economic downturn during recessions.