The effect of Economic Policy Uncertainty on the credit risk of US commercial banks

被引：10

作者：

Orden-Cruz, Carmen ^{[1
]}

Paule-Vianez, Jessica ^{[1
]}

Lobao, Julio ^{[2
]}

机构：

[1] Univ Rey Juan Carlos, Fac Ciencias Jurid & Sociales, Paseo Artilleros S-N, Madrid 28032, Spain

[2] Univ Porto, Fac Econ, Porto, Portugal

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2023年 / 28卷 / 03期

基金：

英国医学研究理事会;

关键词：

commercial banks; credit risk; Economic Policy Uncertainty; profitability and solvency; size; NON-PERFORMING LOANS; MONETARY-POLICY; DETERMINANTS; BUSINESS; RETURNS; PROFITABILITY; STABILITY; CHANNEL;

D O I：

10.1002/ijfe.2600

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article analyses the impact of Economic Policy Uncertainty (EPU) on the credit risk of US commercial banks considering their size, profitability and solvency. To achieve this goal, a sample of 2994 US commercial banks was selected for the period 2017-2019. Using panel data, the results reveal a statistically significant positive relationship between EPU and credit risk of US commercial banks. Banks of less profitability and less solvency were found to be more vulnerable to the effect of EPU on credit risk. No conclusive results were found regarding the impact of bank size on vulnerability to EPU. Overall, our evidence suggests that policy makers and bank managers should consider the effect of EPU on their decisions.

引用

页码：3420 / 3436

页数：17

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