We examine the impact of economic policy uncertainty on bank stability post-2007–2008 global financial crisis and how bank size, capital, and liquidity mitigate this relationship. We use 176,477 quarterly observations for US commercial banks over the period from 2011Q1 to 2020Q3 and find consistent and robust evidence that bank stability decreases as the level of economic policy uncertainty increases. We show that bank size, capital, and liquidity matter, i.e., the negative impact of policy uncertainty on bank stability is stronger for larger banks and weaker for highly capitalized banks as well as for more liquid banks. Our channel analysis shows that the increase in the level and volatility of lending and deposit rates, and the decrease in risk-adjusted capitalization and risk-adjusted profitability might to some extent explain the decrease in bank stability in times of higher economic policy uncertainty. Additional analysis reveals that higher market power mitigates the negative impact of EPU on bank stability. Our findings support the Basel II and III regulatory reforms aimed at tightening the capital levels with stricter rules for the larger banks and the implementation of the newly introduced liquidity rules.

我们研究了 2007-2008 年全球金融危机后经济政策不确定性对银行稳定性的影响，以及银行规模、资本和流动性如何缓解这种关系。我们使用了 2011 年第一季度至 2020 年第三季度期间对美国商业银行的 176,477 份季度观察结果，发现一致且有力的证据表明，银行稳定性随着经济政策不确定性程度的增加而下降。我们表明，银行规模、资本和流动性很重要，即政策不确定性对银行稳定性的负面影响对于规模较大的银行而言更强，而对于资本充足的银行以及流动性较高的银行而言则较弱。我们的渠道分析表明，贷款和存款利率水平和波动性的上升，以及风险调整资本化和风险调整盈利能力的下降，可能在一定程度上解释了经济政策不确定性较高时银行稳定性的下降。进一步的分析表明，更高的市场力量减轻了 EPU 对银行稳定性的负面影响。我们的研究结果支持巴塞尔 II 和 III 监管改革，旨在通过对大型银行实施更严格的规则来收紧资本水平，并实施新推出的流动性规则。