Istiak Khandokar, Serletis Apostolos
Department of Economics and Finance, University of South Alabama Mobile, Alabama, 36688, USA.
Department of Economics, University of Calgary Calgary, Alberta, T2N 1N4, USA.
Econ Model. 2020 Sep;91:257-273. doi: 10.1016/j.econmod.2020.06.010. Epub 2020 Jun 26.
Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.
当前的文献大多使用理论模型和传统的风险/不确定性度量方法（波动率指数、恐慌情绪、预防措施、可怕的坏消息等）来试图阐明风险/不确定性与去杠杆化的模式。这些研究结果不足以解释现代风险/不确定性指标与杠杆率之间的动态实证关系。我们利用1985年第1季度至2018年第4季度的美国季度数据、格兰杰因果检验以及结构向量自回归模型填补了文献中的这一空白。我们发现，当地缘政治风险以及宏观经济、政策和股市不确定性增加时，商业银行的杠杆率会上升。银行基于客户的业务关系以及危机期间政府大量从银行借款是造成这种关系的原因。我们发现，当芝加哥风险以及宏观经济、政策、金融和股市不确定性增加时，经纪交易商和影子银行的杠杆率会下降。我们认为，经纪交易商和影子银行对整个市场系统的风险/不确定性较为脆弱是造成这种关系的原因。
