ESG投资能够促进银行创造流动性吗?——兼论经济政策不确定性的调节效应  

ESG Investment and Bank Liquidity Creation:The Moderating Effect of Economic Policy Uncertainty

作　　者：宋科[1] 徐蕾 李振 王芳[1] SONG Ke;XU Lei;LI Zhen;WANG Fang(School of Finance,Renmin University of China;School of Data Science,Fudan University)

机构地区：[1]中国人民大学财政金融学院,北京100872 [2]复旦大学大数据学院,上海200433

出　　处：《金融研究》2022年第2期61-79,共19页Journal of Financial Research

基　　金：国家自然科学基金应急管理项目(71850009);广东省哲学社会科学“十四五”规划青年项目(GD21YYJ07);中国博士后科学基金面上项目(2020M680048)的资助。

摘　　要：当前在我国致力于实现“碳达峰、碳中和”目标的大背景下,银行能否通过ESG投资促进流动性创造,进而推动高质量发展具有重大战略意义。本文利用2009年第一季度至2020年第二季度中国36家上市银行的面板数据,实证分析ESG投资对银行流动性创造的影响,并将其置于经济政策不确定性条件下予以讨论。研究发现:第一,ESG投资整体上促进流动性创造,表现为对资产端和负债端流动性创造的促进作用,以及对表外流动性创造的抑制作用。从ESG投资结构看,环境保护投资和社会责任投资均抑制流动性创造,而公司治理投资则促进流动性创造。异质性分析表明,地方性银行和资本短缺银行的ESG投资对流动性创造具有更强的促进作用。第二,中介机制分析发现,ESG投资主要通过“盈利”和“风险”渠道促进流动性创造。第三,在经济政策不确定性上升时期,ESG投资对流动性创造的促进作用更加显著。从ESG投资分项看,经济政策不确定性会增强环境保护投资和社会责任投资对流动性创造的抑制作用,以及公司治理投资对流动性创造的促进作用。本文结论为充分发挥ESG投资作用并以此推动高质量发展提供了政策启示。In the current efforts to achieve“carbon peak”and“carbon neutral,”ESG investment is an increasingly important standard for measuring the sustainability of commercial banks.Thus,ESG investment can be considered a further extension of corporate social responsibility.Several studies on related topics enrich our understanding of the motives and economic consequences of corporate social responsibility;however,these studies still have several drawbacks.First,most studies are concerned with nonfinancial companies and direct studies of the banking sector are rare.Second,among the small number of bank-related studies,most explore the relationship between bank social responsibility and financial performance.However,as an important means of reputation management,ESG investment requires banks to integrate ESG principles into their daily business,which has multidimensional impacts on bank performance,especially bank liquidity creation.Liquidity creation is one of the core functions of modern commercial banks.Moderate liquidity creation improves market financing conditions,which promotes high-quality development.First,banks can create liquidity on their balance sheets by converting their liquid liabilities into illiquid assets.Second,banks can create off-balance sheet liquidity by providing customers with credit commitments.Based on the liquidity creation measurement method proposed by Berger and Bouwman(2009),many studies explore the factors influencing liquidity creation,but no studies systematically analyze the relationship between ESG investment and bank liquidity creation.Theoretically,ESG investment may affect liquidity creation in two opposite ways.On the one hand,as a means of reputation management,ESG investment may promote liquidity creation through a reputation spillover effect.On the other hand,a reputation constraint effect associated with ESG investment may suppress liquidity creation.Based on the panel data from 36 listed banks in China from 2009 Q1 to 2020 Q2,this paper constructs liquidity creation ind

关 键 词：ESG投资 银行流动性创造 “风险”渠道 “盈利”渠道 经济政策不确定性 

分 类 号：F832.33[经济管理—金融学] F270[环境科学与工程—环境科学] X196F830.42