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7.结论
我们构建了一个新的历史数据集,涵盖了46个国家自1870年以来的银行股票回报率数据,然后,我们利用这个数据集证明,即便是在控制了非金融部门股票回报率之后,银行股价大幅下跌也是随后更低的GDP增长率和银行信贷占GDP比例的有力预测指标。银行股价与随后的宏观经济结果之间的关系是高度非线性的,这表明银行股票回报率尤其可以预示与中介信贷能力下降相关的严重负面宏观经济事件。银行股价大幅下跌的这种预示作用,使我们能够构建更广泛的危机样本,包括有恐慌和无恐慌的银行业危机。通过分别考察这些危机事件的子样本,我们发现,尽管银行股价大幅下跌通常伴随着恐慌的叙事性证据,而且最严重的宏观经济衰退也会随之而来,但是无恐慌的银行业危机也会转化为长期的产出缺口和严重的信贷收缩。此外,当恐慌真的发生时,也往往是在银行股价大幅下跌之后,这反映了股票投资者已经承受了大部分当前和预期的巨额损失这一事实。
我们的研究结果表明,银行业危机的决定性特征是银行资本紧缩。这些资本紧缩经常(但并非总是)会导致银行债权人挤兑银行债务,特别是在当前和预期的巨额未来损失已经实现、银行资本似乎不够充分的情况下。然而,即便通过隐性或显性担保等方法避免了恐慌,资本不足的银行体系仍然无法为经济提供充分的服务。因此,在危机初露端倪的时期,除了努力防止融资压力过大和出现彻底的恐慌之外,很重要的一点是,监管机构还必须关注银行资本充足率。此外,虽然信用利差直接表明信贷市场出现了类似恐慌的混乱状况,但是银行股价对银行业健康状况的信息更为敏感,因此可以在危机的早期阶段提供更多有关银行业状况的信息。我们的证据表明,除了信贷扩张的度量指标,简单的银行股价度量指标也可以提供关于银行业健康状况的非常有用的实时晴雨表。
作为最后的提醒,我们还要强调,尽管我们的研究结果对银行损失和恐慌的作用提供了新的见解,但我们仍然不能在因果关系的层面上确定银行损失和恐慌在抑制银行贷款和产出方面的作用。我们描述的银行股价大幅下跌事件反映了广泛的银行业危机和产出收缩,但是它也可能部分是由于企业和家庭资产负债表过于疲弱而不是银行业危机所致。我们期待,未来进一步的研究能够厘清银行贷款渠道、银行业恐慌和非金融部门资产负债表危机的因果关系。
(贾拥民 译)
补充材料:
本文的在线附录可以到《经济学在线季刊》的网站上下载:qje.oxfordjournals.org。
数据和代码获取:
如欲复现本文中的表格和图表,需要的数据和代码可以从Harvard Dataverse下载。本文的doi:10.7910/DVN/ECC9GE。
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