机构地区: 对外经济贸易大学金融学院
出 处: 《金融研究》 2010年第11期34-44,共11页
摘 要: 本文研究了宏观经济不确定性在银行资产配置中所起的作用。论文首先构建了一个投资组合模型,论证了宏观经济不确定性与银行资产组合行为的理论关系。然后对我国银行业从1995年至2009年的两者关系作了实证分析,研究结果表明,宏观经济不确定性在银行的投资决策中有着显著影响,当宏观经济不确定性显著增加时,银行资产配置中的贷款份额下降,贷款/资产比率截面分布方差减小,出现"羊群效应"。 This article investigates the role that macroeconomic uncertainty plays in banks' optimal asset allocation. A model of investment portfolio is used to disentangle the relation between macroeconomic uncertainty and banks' asset allocation.Based on the empirical analysis about Chinese commercial bank industry from 2005 to 2009,the econometric results confirm that macroeconomic uncertainty is a significant determinant of banks' investment decisions.In periods of increasing turmoil,the cross-sectional variance of the loan-to-asset ratio reduces and herding behavior tends to emerge.