ESG评级对我国商业银行系统性风险的影响研究  

Research on the Impact of ESG Rating of the Systemic Risk of Chinese Commercial Banks

作　　者：王思遥 沈沛龙[1] WANG Si-yao;SHEN Pei-long(School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006,China)

机构地区：[1]山西财经大学金融学院,山西太原030006

出　　处：《经济体制改革》2023年第5期193-200,共8页Reform of Economic System

基　　金：国家社会科学基金一般项目:“健全系统性金融风险预警、防控与应急处置机制研究”(18BJY231)。

摘　　要：基于中国36家上市银行2009~2022年的季度面板数据,利用DCC-SVR-GARCH-CoVaR模型测算系统性风险溢出率,实证分析ESG评级对我国商业银行系统性风险的影响及作用机制。研究发现:ESG评级提高能够显著削弱我国商业银行的系统性风险水平,且ESG评级提高对银行系统性风险水平的削弱作用主要由公司治理(G维度)驱动;地方性银行的ESG评级提高对系统性风险水平的削弱作用更强;ESG评级提高会通过降低银行违约风险发生的概率、减小银行与客户之间的信息不对称程度两种渠道削弱商业银行的系统性风险;经济政策不确定性提升会强化ESG评级提高对银行系统性风险的抑制作用。鉴于此,应充分完善ESG评级体系,将ESG评级纳入商业银行业务战略、内部治理与风险管理体系中,以提高商业银行的风险防控能力。Based on the quarterly panel data of 36 Chinese listed commercial banks from 2009 to 2022,this paper uses the DCC-SVR-CARCH-CoVaR model to measure the systemic risk spillover rate,and empirically analyzes the impact and mechanism of ESG rating on the systemic risk of Chinese commercial banks.It is found that the improvement of ESG rating can significantly weaken the systemic risk level of China's commercial banks,and the weakening effect of ESG rating improvement on the systemic risk level of banks is mainly driven by corporate governance(G dimension);Higher ESG ratings of local banks will weaken the level of systemic risk more strongly;The improvement of ESC rating will weaken the systemic risk level of commercial banks by reducing the occurrence probability of bank default risk and reducing the information asymmetry between banks and customers.Higher economic policy uncertainty will strengthen the restraining effect of higher ESG ratings on bank systemic risk.In view of this,the ESG rating system should be fuly improved,and the ESG rating should be incorporated into the business strategy,internal governance and risk management system of commercial banks,so as to improve the risk prevention and control ability of commercial banks.

关 键 词：ESG评级 商业银行 系统性风险 DCC-SVR-GARCH-CoVaR模型 

分 类 号：F832[经济管理—金融学]