银行ESG表现能缓释实体经济对银行的风险溢出吗?

Can the Bank's ESG Performance Mitigate the Risk Spillover from the Real Economy to Banks?

基于“实体—金融”风险传导框架,采用2010年第4季度至2022年第3季度16家上市银行数据,考察银行ESG表现对于实体经济对银行风险溢出的影响及其传导机制。研究发现银行ESG表现整体上发挥了风险缓释效应,且在国有银行、系统重要性银行中更为明显。细分指标后,发现风险缓释效应体现在治理上,环境和社会层面上责任履行反而体现为风险加剧效应。机制检验表明银行提升ESG表现将会通过降低影子银行规模、贷款集中度以及不良贷款率等渠道发挥风险缓释效应,但也会增加主动风险承担进而提高风险溢出。最后,在经济周期下行、经济政策不确定性上升以及新冠疫情冲击下,银行ESG表现的风险缓释效应则会受到一定程度的削弱。

Based on the“real economy-finance”risk transmission framework,the paper examines the impact of the bank's ESG performance on the risk spillover from the real economy to banks and its transmission mechanism,using the data of 16 listed commercial banks from the fourth quarter of 2010 to the third quarter of 2022.It is found that the bank's ESG performance as a whole exerts a risk-mitigating effect,and is more pronounced among state-owned banks and systemically important banks.After breaking down the indicators,it is found that the risk mitigation effect is reflected in governance,while the fulfillment of responsibilities in the environmental and social dimensions is reflected in the risk exacerbation effect instead.Mechanism tests suggest that the bank's improved ESG performance will have a risk mitigation effect by reducing the size of shadow banking,loan concentration,and NPL ratio,but will also increase the proportion of active risk-taking to raise risk spillovers.Finally,the risk-mitigating effect of the bank's ESG performance is somewhat weakened by the downturn in the economic cycle,rising economic policy uncertainty,and the impact of the COVID-19.