不確定性與國家治理對銀行流動性創造的影響：跨國銀行證據

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陳明謙(Ming-Chien Chen) 查詢紙本館藏

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財務金融學系

論文名稱

不確定性與國家治理對銀行流動性創造的影響：跨國銀行證據
(The Effect of Uncertainty and Country Governance on Banks’ Liquidity Creation: International Evidence)

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至系統瀏覽論文 (2026-3-29以後開放)

摘要(中)

本文透過跨國銀行資料探討經濟政策不確定性（EPU）和國家治理對各國銀行流動性創造的影響。我們使用 1985 年 Q1-2012 年 Q4 期間的跨國銀行數據，我們發現 EPU 損害了資產面的流動性創造，但增加負債面的流動性創造。實證結果顯示不確定性阻礙了銀行的信貸，且人們為了安全起見傾向於向銀行存款。

此外，國家治理減輕了 EPU 對銀行流動性創造的負面影響，但這種影響不存在金融危機期間。我們的結果在子樣本，二階段最小平方法(2SLS)和廣義動差估計（GMM）中是穩健的。總體而言，我們的發現為政策決策者和銀行家提供了至關重要的政策含義。

摘要(英)

This study empirically investigates the effects of economic policy uncertainty (EPU) and country governance on bank liquidity creation in various countries. Using cross-country bank data for the period 1985 Q1–2012 Q4, we find that EPU harms asset-side liquidity creation and benefits liability-side liquidity creation. The results
reveal that uncertainty hinders bank credit, and people tend to make deposits in banks for safety. Moreover, country governance mitigates the negative impact of EPU on bank liquidity creation, but this effect disappears during the financial crisis. Our results are robust in the subsample, two-stage least squares regression, and generalized method of moments analyses. Overall, our findings have crucial policy implications for policymakers and bankers.

關鍵字(中)

★ 銀行流動性創造
★ 經濟政策不確定性
★ 國家治理

關鍵字(英)

★ bank liquidity creation
★ economic policy uncertainty
★ country governance

論文目次

Table of Contents
摘要..i
Abstract..ii
Acknowledgement.. iii
List of Tables..v
1.Introduction..1
2. Literature Review and Hypotheses Development..4
3.Data..11
3.1. Data Source and Variable Description..11
3.2. Summary Statistics and correlation..12
4. Methodology..13
5. Empirical Results..15
5.1. Baseline Results..16
5.2. The effect of country governance and financial crisis ..18
5.3. The role of different subsamples..21
6. Robustness..22
6.1. The robustness test..22
6.2. The endogeneity concern: Generalized Method of Moments estimation..23
7. Conclusion..24
Appendix A: The description of variables and the sources of data ..26
Appendix B: Country classification by continents..27
Reference..28

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指導教授

王志瑋(Chih-Wei Wang)

審核日期

2021-6-8

推文