Macroeconomic Uncertainty,Banks' Heterogeneity and Credit Supply

This paper studies the impacts of macroeconomic uncertainty on the credit supply of banks.Firstly,macroeconomic uncertainty indicators are created based on GARCH model. Then,the unbalanced panel data of 89 Chinese commercial banks from 1998 to 2012 are used to empirically test the heterogeneous effects of macroeconomic uncertainty on the credit supply of different banks. The analysis indicates that both statistatically and economically, the rise of macroeconomic uncertainty significantly reduces bank credit growth,and the effects aresmaller for banks with higher capitaladequacyratio,higher asset liquidity ratio and bigger scale.