金融机构ESG表现对系统性风险溢出作用研究

谢赤1; 2; 董美钰1

金融机构ESG表现对系统性风险溢出作用研究

引用本文：谢赤1 , 2，董美钰1.金融机构ESG表现对系统性风险溢出作用研究[J].湖南大学学报社会科学版,2024,(5):53-61

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作者	单位
谢赤1 , 2，董美钰1	（1. 湖南大学工商管理学院，湖南长沙 410082； 2. 产业数智金融湖南省哲学社会科学重点实验室，湖南长沙 410082）

中文摘要:基于DCC-GARCH-ΔCoVaR模型，考察金融机构ESG表现与其系统性风险溢出之间的关系。实证研究发现，整体上金融机构ESG表现改善能够有效降低系统性风险溢出，且当将其拆解为三个维度时，环境和社会表现对系统性风险溢出具有抑制作用，而治理表现的作用则是促进性的。作为内部因素的机构规模增大会增强ESG表现对于系统性风险溢出的抑制作用，而在外部因素即危机事件发生的情况下该作用的效果更加明显。将金融行业细分后，证券业中金融机构ESG表现的改善能够降低系统性风险溢出，但在保险业结果却相反，而在银行业中的作用则并不显著。

中文关键词:金融机构 ESG表现系统性风险溢出金融风险

A Study of the Impact of ESG Performance of Financial Institution on Systemic Risk Spillover

Abstract:Based on the DCC-GARCH-ΔCoVaR model, the relationship between the ESG performance of financial institutions and their systemic risk spillover is investigated. The empirical research reveals that, on the whole, the improvement of ESG performance of financial institutions can effectively reduce the systemic risk spillover. And when it is decomposed into three dimensions, the environmental and social performances have an inhibitory effect on the systemic risk spillover, while the role of governance performance is positive. The increase in the size of the institution, as an internal factor, will enhance the inhibitory effect of ESG performance on the systemic risk spillover, and the effect is more pronounced in the case of external factors, namely the occurrence of crisis events. After subdividing the financial industry, the improvement of ESG performance of financial institutions in the securities industry can reduce the systemic risk spillover, but the result is the opposite in the insurance industry, while the effect in the banking industry is not significant.

keywords:financial institution ESG performance systemic risk spillover financial risk

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