ESG與高價抵押貸款比例對於銀行風險之影響

Abstract

本研究以2016年至2018年與2005年至2018年兩段期間之美國銀行控股公司(Bank Holding Company , BHCs)為樣本，利用其主要儲貸機構向美國聯準會申報之HMDA房屋抵押貸款資料及銀行監管資料庫中的銀行財務資料，並結合路孚特 (Refinitiv) ESG資料庫，探討ESG與高價抵押貸款對於銀行市場基礎風險的影響。根據實證結果，投入ESG整體活動與風險兩者之間，雖然係數並不顯著，但皆為負向關係，大致符合利害關係者理論，顯示銀行將ESG因素納入決策過程當中，某一程度上可以降低風險。其中，投入社會方面的ESG活動可以對於銀行的整體風險及獨特性風險具有統計上顯著的下降效果，然而由於係數太小，實際上能影響風險的程度有限；而銀行若投入環境方面的ESG活動，則會造成系統性風險的上升；投入治理方面的ESG活動則對於風險無影響。最後，銀行高價抵押貸款金額比例的上升，與整體風險及獨特性風險均為顯著正相關，且增額的解釋力強於ESG變數。代表銀行若是增加高價抵押貸款金額的比例，會導致銀行風險上升。

This study investigates the impact of ESG factor and high-priced mortgage ratio on bank market-based risk. Using bank financial data of Bank Regulatory database and HMDA mortgage loan data, which Bank Holding Company (BHCs) reported to the Federal Reserve from 2016 to 2018 and 2005 to 2018 by their major savings and loan institutions, and Refinitiv ESG database as samples. According to the empirical results, although the coefficients between the overall ESG investment activities and bank risks are not significant, they are all negative, which is roughly in line with the stakeholder theory. It shows banks can reduce risks to a certain extent if ESG factors were considered in the decision-making process. First, investing in social aspects of ESG activities can have a statistically significant reduction effect on the total risk and idiosyncratic risk of the bank, since the coefficient is too small, it can only affect the risk to a limited extent. Secondly, if a bank invests in environmental aspects of ESG activities, it will lead to an increase in systemic risk. In addition, ESG activities invested in governance have no significant impact on bank risk. Finally, the increase in the ratio of high-priced mortgage loans is significant and is positively correlated with both total risk and idiosyncratic risk, which means if the bank increases the proportion of high-priced mortgage loans, it will lead to an increase in bank risk, and the increase R-squared of high-priced mortgage loans is stronger than that of ESG variables.