The individual and joint impacts of EPU and inflation on loan price by GMM
| China’s EPU | Global EPU | China’s EPU | Global EPU | |||||
|---|---|---|---|---|---|---|---|---|
| Med EPU SCMP | Global med EPU | Med EPU SCMP | Global med EPU | |||||
| EPU measures | Coef. | Std. err | Coef. | Std. err | Coef. | Std. err | Coef. | Std. err |
| L.Loan price | 0.072*** | (0.027) | 0.060*** | (0.022) | 0.244** | (0.122) | 0.277* | (0.143) |
| c.EPU | −0.008*** | (0.001) | −0.029*** | (0.003) | −0.007*** | (0.001) | −0.021*** | (0.005) |
| c.Inflation | 0.323*** | (0.045) | 0.341*** | (0.044) | 0.621*** | (0.113) | 0.470*** | (0.087) |
| c.Inflation × c.EPU | 0.002*** | (0.001) | 0.004*** | (0.001) | ||||
| Interest expense to liabilities | 2.718*** | (0.133) | 2.713*** | (0.142) | 2.639*** | (0.187) | 2.629*** | (0.202) |
| Non-interest expenses to assets | −0.296 | (0.572) | 0.111 | (0.490) | −0.327 | (0.454) | 0.204 | (0.381) |
| LLP to gross loans | 0.496*** | (0.163) | 0.279 | (0.172) | 0.338** | (0.164) | 0.215 | (0.170) |
| Equity to assets | −0.095* | (0.049) | −0.121** | (0.051) | −0.073* | (0.041) | −0.101** | (0.042) |
| Loan to deposits | −0.005 | (0.004) | −0.005 | (0.005) | −0.005 | (0.003) | −0.005 | (0.004) |
| Bank size | 0.249 | (0.181) | 0.221 | (0.187) | 0.352 | (0.257) | 0.079 | (0.243) |
| GDP growth | −0.250*** | (0.031) | −0.451*** | (0.049) | −0.117*** | (0.027) | −0.224*** | (0.066) |
| p-Value of AR1/AR2 | 0.001 / 0.26 | 0.011 / 0.12 | 0.003 / 0.691 | 0.002 / 0.947 | ||||
| p-Value of Hansen | 0.769 | 0.835 | 0.593 | 0.684 | ||||
| No. of observations | 1,229 | 1,229 | 1,361 | 1,361 | ||||
| China’s EPU | Global EPU | China’s EPU | Global EPU | |||||
|---|---|---|---|---|---|---|---|---|
| EPU measures | ||||||||
| 0.072 | (0.027) | 0.060 | (0.022) | 0.244 | (0.122) | 0.277 | (0.143) | |
| −0.008 | (0.001) | −0.029 | (0.003) | −0.007 | (0.001) | −0.021 | (0.005) | |
| 0.323 | (0.045) | 0.341 | (0.044) | 0.621 | (0.113) | 0.470 | (0.087) | |
| 0.002 | (0.001) | 0.004 | (0.001) | |||||
| 2.718 | (0.133) | 2.713 | (0.142) | 2.639 | (0.187) | 2.629 | (0.202) | |
| −0.296 | (0.572) | 0.111 | (0.490) | −0.327 | (0.454) | 0.204 | (0.381) | |
| 0.496 | (0.163) | 0.279 | (0.172) | 0.338 | (0.164) | 0.215 | (0.170) | |
| −0.095 | (0.049) | −0.121 | (0.051) | −0.073 | (0.041) | −0.101 | (0.042) | |
| −0.005 | (0.004) | −0.005 | (0.005) | −0.005 | (0.003) | −0.005 | (0.004) | |
| 0.249 | (0.181) | 0.221 | (0.187) | 0.352 | (0.257) | 0.079 | (0.243) | |
| −0.250 | (0.031) | −0.451 | (0.049) | −0.117 | (0.027) | −0.224 | (0.066) | |
| 0.001 / 0.26 | 0.011 / 0.12 | 0.003 / 0.691 | 0.002 / 0.947 | |||||
| 0.769 | 0.835 | 0.593 | 0.684 | |||||
| No. of observations | 1,229 | 1,229 | 1,361 | 1,361 | ||||
Note(s): ***, ** and *indicate 1, 5 and 10% levels of significance, respectively
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