绿色信贷对银行信贷风险的作用机制检验——基于中介与调节效应的实证证据

The Role of Green Credit in Bank Credit Risk—Evidence from Mediating and Moderating Effects

摘要: 本文基于2013~2023年中国17家主要商业银行的面板数据，构建固定效应模型，对绿色信贷影响商业银行信贷风险的统计关系、作用路径与异质性进行实证检验。研究表明：第一，在控制银行特征与宏观经济变量后，绿色信贷规模与不良贷款率在1%水平上呈显著负相关，证实其具有风险缓释效应。第二，通过分样本回归发现，该效应在国有大型商业银行中显著，而在股份制银行中不显著，表明银行所有权结构是重要的异质性来源。第三，中介效应模型检验支持“绿色信贷–贷款集中度–信贷风险”的传导路径，即绿色信贷通过降低贷款集中度间接抑制风险。第四，引入交互项的调节效应模型显示，宽松的货币政策会显著削弱绿色信贷对信贷风险的抑制效果。本文结论为理解绿色信贷影响银行风险的数理机制提供了经验证据，并为相关风险模型的构建与政策设计提供了理论依据。

Abstract: Based on panel data from 17 major commercial banks in China from 2013 to 2023, this study constructs a fixed-effects model to empirically examine the statistical relationship, transmission pathways, and heterogeneity of the impact of green credit on commercial banks’ credit risk. The findings indicate that: First, after controlling for bank-specific characteristics and macroeconomic variables, green credit scale shows a significant negative correlation with the non-performing loan ratio at the 1% level, confirming its risk-mitigating effect. Second, subsample regression analysis reveals that this effect is significant in large state-owned commercial banks but not in joint-stock banks, indicating that ownership structure is an important source of heterogeneity. Third, the mediating effect model validates the “green credit-loan concentration-credit risk” transmission path, demonstrating that green credit indirectly suppresses risk by reducing loan concentration. Fourth, the moderating effect model incorporating interaction terms shows that loose monetary policy significantly weakens the inhibitory effect of green credit on credit risk. These conclusions provide empirical evidence for understanding the mathematical mechanisms through which green credit influences bank risk and offer a theoretical basis for constructing related risk models and designing relevant policies.