This paper shows that economic uncertainty proxied by the variance risk premium (VRP) has an important explanatory power for bank credit supply and demand. Higher VRP exerts a negative influence on both loan demand and supply, increases loan spreads, reduces loan size and maturity, and increases the proportion of collateralized loans. These effects are substantive in the syndicated loan market and are worse off during economic recessions. Upon isolating the effect of uncertainty on bank credit supply from loan demand, we find that VRP dominates credit supply, which suggests that bank credit shortages can potentially aggravate economic downturn during recessions.

中文翻译：

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经济不确定性和银行贷款

本文表明，以方差风险溢价（VRP）为代表的经济不确定性对银行信贷供求具有重要的解释力。较高的 VRP 对贷款需求和供应都产生负面影响，增加贷款利差，减少贷款规模和期限，并增加抵押贷款的比例。这些影响在银团贷款市场上是显着的，在经济衰退期间会更糟。在将不确定性对银行信贷供应的影响与贷款需求分离后，我们发现 VRP 在信贷供应中占主导地位，这表明银行信贷短缺可能会在衰退期间加剧经济下滑。