Bank risk in uncertain times: Do credit rationing and revenue diversification matter?
研究发现经济政策不确定性通过信贷配给和收入多元化两个渠道推高银行风险，尤其对大型银行和利率敏感负债高的银行影响更大。
Abstract We show that bank risk rises, particularly for larger banks and those with greater interest‐sensitive liabilities, during times of economic policy uncertainty through two economic channels: “credit rationing” and “revenue diversification.” The credit rationing channel shows that economic policy uncertainty increases aggregate loan spreads, exacerbating both adverse selection and moral hazard problems leading to higher bank risk. The revenue diversification channel suggests that as economic policy uncertainty reduces bank profits from traditional interest‐based products, banks diversify into other non‐traditional activities, thereby increasing their instability. Overall, our findings highlight the impact of economic policy uncertainty on exacerbating bank risk.