商业银行ESG表现与信用风险——基于资本充足率的调节效应分析

ESG Performance of Commercial Banks and Credit Risk—An Analysis Based on the Capital Adequacy Ratio Adjustment Effect

摘要: ESG表现对于银行的可持续发展、投资者的长期收益和金融市场的稳定性具有重要意义，文章选用2013~2022年我国41家沪深A股上市银行的面板数据，分析商业银行ESG表现对其信用风险的影响，并且探究了资本充足率在二者之间的调节作用。研究发现，商业银行ESG表现对其信用风险产生抑制作用，具体表现为银行在社会责任和公司治理上的良好表现抑制了银行信用风险的产生，通过进一步异质性分析，发现这种抑制作用在非国有商业银行中有较为明显的体现，但是在国有商业银行上表现并不明显。调节效应分析表明：资本充足率的风险缓冲作用能够放大商业银行ESG表现对信用风险的抑制作用。

Abstract: The ESG performance is of significant importance for the sustainable development of banks, long-term returns for investors, and stability of financial markets. Using unbalanced panel data of 41 listed banks on the Shanghai and Shenzhen stock exchanges in China from 2013 to 2022, this paper empirically analyzes the impact of commercial bank ESG performance on bank credit risk and investigates the moderating effect of capital adequacy ratio. The study finds that the ESG performance of commercial banks exerts a restraining effect on their credit risk, particularly through the positive impact of good performance in social responsibility and corporate governance on mitigating bank credit risk. Heterogeneity analysis reveals a notable restraining effect of ESG performance among non-state-owned commercial banks, while such effect is less pronounced among state-owned commercial banks. Moderation analysis suggests that the risk-buffering effect of capital adequacy ratio strengthens the inhibitory effect of commercial bank ESG performance on credit risk.