ESG、HMDA抵押放款核貸率對銀行風險之影響

Abstract

本研究以美國銀行控股公司為樣本，利用其主要儲貸機構申報之 HMDA房屋抵押貸款資料以及路孚特ESG資料，分別探討不同風險之抵押貸款核貸率及ESG對於銀行市場基礎風險之影響。實證結果發現，整體核貸率對系統性風險會造成正向影響，非高風險核貸率對整體、獨特性風險會產生負向影響，而高風險核貸率對於三種風險皆會造成正向影響。此結果支持抵押貸款之違約風險會影響銀行風險，因此高風險 (非高風險) 抵押貸款增加會使整體、獨特性風險上升 (下降)；系統性風險之結果則支持抵押貸款與整體市場的結合性、與總體經濟的關聯性越強會使系統性風險上升。而ESG相關實證結果發現，ESG及ESGC評分對整體、獨特性風險會造成正向影響；對於系統性風險則會造成負向影響，且進一步將ESG拆分為環境、社會、公司治理後，環境層面對系統性風險之影響為正，代表對投資人而言，投資環境層面會增加成本；而社會層面及其子項目人權、社區、產品責任，對於系統性風險之影響則為負，顯示投資ESG以降低風險之效果係來自投資社會層面中人權、社區以及產品責任相關之活動。

The study investigates the impact of mortgage loan approval rate and environment, social, and governance (ESG) on banks’ market-based risk using a sample of U.S. bank holding companies. The empirical results show that systematic risk is positively affected by the overall and high-risk mortgage loan approval rate, indicating that the association of mortgage with macroeconomic and the overall market would affect systematic risk. For risky mortgage, we find that low-risk loan approval rate is negatively associate with idiosyncratic risk, while high-risk loan approval rate is positively associate with idiosyncratic risk. This implies that the default risk of mortgage loan would affect bank risk. On the other hand, the results about ESG show that ESG scores have a positive impact on overall risk and idiosyncratic risk, and a negative impact on systematic risk. We also examine the separate effects of ESG. The social pillar and its components, including human rights, community, and product responsibility, have a negative impact on systematic risk, indicating that the risk reduction potential of ESG is mainly due to the components of social pillar, especially human rights, community and product responsibility. However, the environment pillar has a positive impact on systematic risk, which means for BHC investors, the investment on environment would increase costs.