Can the Bank's ESG Performance Mitigate the Risk Spillover from the Real Economy to Banks?
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.
the bank's ESG performancethe risk spillover from the real economy to banksMF-TVP-VARinfluence mechanismexternal environment
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