抵押貸款成長率與ESG對銀行風險之影響

Abstract

本研究旨在探討銀行抵押貸款成長率與ESG表現對其市場基礎風險的影響，本文採用2004年至2017年及2015年至2019年之銀行控股公司(Bank Holding Company, BHC)每日股價資料、其主要儲貸機構向聯準會申報之HMDA房屋抵押貸款資料、路孚特(Refinitiv) ESG評分與FR Y-9C財務資料作為樣本。研究結果顯示抵押貸款多由非高風險抵押貸款組成，其成長率對整體風險和獨特性風險之負向影響效果較強烈，對系統性風險則相反，而高風險抵押貸款成長率對市場基礎風險未有顯著影響。實證結果亦顯示ESG參與會增加整體風險和獨特性風險，然卻可降低系統性風險，且不同面向的ESG表現對系統性風險存在不同影響。

This study investigates the impact of mortgage loan growth rate and ESG on bank holding companies' market-based risk. Using daily stock price data, mortgage loan data required by Home Mortgage Disclosure Act, ESG scores from Refinitiv, and FR Y9-C financial data, we find that aggregate mortgage loans are largely composed of non high-priced mortgage loans and that both the growth rate of aggregate and non high-priced mortgage loans have a negative relationship with total risk and idiosyncratic risk, but positive with systematic risk. There is no significant impact of high-priced mortgage loan growth rate on market-based risk. Moreover, we find that investing in ESG activities increases total risk and idiosyncratic risk but decreases systematic risk, and that different dimensions of ESG activities have different impacts on systematic risk.