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題名 銀行進行永續放貸對風險承擔之影響
The impact of sustainable loan on banks’ risk-taking
作者 王歆雅
Wang, Xin-Ya
貢獻者 陳嬿如
Chen, Yen-Ru
王歆雅
Wang, Xin-Ya
關鍵詞 永續放貸
風險承擔
責任銀行原則
利率補貼措施
放貸經驗
Sustainable loan
Risk-taking
PRB
Interest subsidy
Lending experience
日期 2024
上傳時間 4-Sep-2024 15:25:55 (UTC+8)
摘要 過去政府支持對銀行風險承擔的相關研究主要探討存款保險、擔保貸款、紓困擔保的領域，然而在簽訂巴黎協定、聯合國發布責任銀行原則後，各國政府於永續金融政策中以制訂利率補貼措施為主，試圖降低銀行因永續放貸上升帶來的信用風險。為滿足永續轉型投資的龐大資金需求，政府如何制定政策以鼓勵銀行提供永續放貸成為重要且急迫的課題。本研究使用2016至2023年間在RCEP國家經營永續放貸業務的銀行做為樣本，共蒐集2,249筆永續放貸比例與事前、事後風險承擔資料進行雙重差分法分析，探討利率補貼措施對銀行風險承擔的影響，以及有無永續放貸經驗對風險承擔的影響。研究結果顯示PRB發布後進行永續放貸時利率補貼措施對銀行風險承擔無顯著影響，有無永續放貸經驗也不會顯著影響銀行風險承擔。
Previous study regarding government support on banks' risk-taking has primarily discussed deposit insurance, guaranteed loans, and bailout policy. However, following Paris Agreement and United Nations' release of Principles for Responsible Banking (PRB), governments worldwide have focused on offering interest subsidy to firms, aiming to lower banks’ credit risk-taking from sustainable loan. To meet the substantial capital demand for sustainable transition investments, how governments formulate policies to encourage banks to provide sustainable loans has become an urgent issue. This study uses banks with sustainable lending in RCEP countries from 2016 to 2023 as samples, collecting 2,249 observations with sustainable loans ratio, ex-ante and ex-post risk-taking to conduct difference-in-difference analysis. The study investigates the impact of interest rate subsidy measures on banks' risk-taking and the influence of prior sustainable lending experience on risk-taking. The results indicate that interest subsidy measures have no significant impact on ex-ante and ex-post risk-taking, and prior lending experience does not significantly affect risk-taking.
參考文獻 Allet, M., & Hudon, M. (2013). Green Microfinance: Characteristics of microfinance institutions involved in environmental management. Journal of Business Ethics, 126(3), 395–414. Alston, L. J., Grove, W. A., & Wheelock, D. C. (1994). Why Do Banks Fail? Evidence from the 1920s. Explorations in Economic History, 31(4), 409–431. Bester, H. (1985). Screening vs. Rationing in Credit Markets with Imperfect Information. The American Economic Review, 75(4), 850–855. Bester, H. (1987). The role of collateral in credit markets with imperfect information. European Economic Review, 31(4), 887–899. Buser, S. A., Chen, A. H., & Kane, E. J. (1981). Federal deposit insurance, regulatory policy, and optimal bank capital. Journal of Finance, 36(1), 51–60. Cheng, B., Ioannou, I., & Serafeim, G. (2013). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1–23. Climent, F., & Soriano, P. (2011). Green and good? The investment performance of US environmental mutual funds. Journal of Business Ethics, 103(2), 275–287. Cui, Y., Geobey, S., Weber, O., & Lin, H. (2018b). The impact of green lending on credit risk in China. Sustainability, 10(6), 2008. Dell'Ariccia, Giovanni. (2001). Asymmetric information and the struscture of the banking industry. European Economic Review, 45(10), 1957-1980. Dell’ariccia, G., & Marquez, R. (2006). Lending booms and lending standards. Journal of Finance, 61(5), 2511–2546. Dell’Ariccia, G., Igan, D., & Laeven, L. (2012). Credit booms and lending standards: Evidence from the subprime mortgage market. Journal of Money, Credit and Banking, 44(2‐3), 367-384. Dell’ariccia, G., Laeven, L., & Suarez, G. A. (2017). Bank Leverage and Monetary Policy’s Risk‐Taking Channel: Evidence from the United States. Journal of Finance, 72(2), 613–654. Demirgüç-Kunt, A., & Detragiache, E. (2002). Does deposit insurance increase banking system stability? An empirical investigation. Journal of Monetary Economics, 49(7), 1373–1406. Emtairah, T., Hansson, L., & Hao, G. (2005). Environmental Challenges and Opportunities for Banks in China: The Case of Industrial and Commercial Bank of China. Greener Management International, 50, 85–95. Eshet, A. (2017). Sustainable finance? The environmental impact of the “equator principles” and the credit industry. International Journal of Innovation and Sustainable Development, 11(2/3), 106. Faleye, O., & Krishnan, K. 2017. Risky lending: Does bank corporate governance matter? Journal of Banking & Finance, 83, 57-69. Flannery, Mark J. (1998). Using Market Information in Prudential Banking Supervision: A Review of U.S. Evidence. Journal of Money, Credit, and Banking, 30, 273–305. Foos, D., Norden, L., & Weber, M. (2010). Loan growth and riskiness of banks. Journal of Banking & Finance, 34(12), 2929-2940. Galloway, T. M., Lee, W. B., & Roden, D. M. (1997). Banks’ changing incentives and opportunities for risk taking. Journal of Banking & Finance, 21(4), 509–527. Gropp, R., Hakenes, H., & Schnabel, I. (2010). Competition, risk-shifting, and public bail-out policies. Review of Financial Studies, 24(6), 2084–2120. Gropp, R., Hakenes, H., & Schnabel, I. (2010). Competition, risk-shifting, and public bail-out policies. Review of Financial Studies, 24(6), 2084–2120. Gropp, R., Vesala, J., & Vulpes, G. (2006). Equity and Bond Market Signals as Leading Indicators of Bank Fragility. Journal of Money, Credit and Banking, 38(2), 399–428. Gropp, R., & Vesala, J. (2004). Deposit insurance, moral hazard and market monitoring. European Finance Review, 8(4), 571–602. Grossman, R. S. (1992). Deposit Insurance, Regulation, and Moral Hazard in the Thrift Industry: Evidence from the 1930’s. The American Economic Review, 82(4), 800–821. Hakenes, H., & Schnabel, I. (2010). Banks without parachutes: Competitive effects of government bail-out policies. Journal of Financial Stability, 6(3), 156–168. Hart, S. L. (1995). A Natural-Resource-Based view of the firm. Academy of Management Review, 20(4), 986–1014. Hovakimian, A., Kane, E. J., & Laeven, L. (2003). How Country and Safety-Net Characteristics Affect Bank Risk-Shifting. Journal of Financial Services Research, 23(3), 177–204. Iatridis, G. E. (2013). Environmental disclosure quality: Evidence on environmental performance, corporate governance and value relevance. Emerging Markets Review, 14, 55–75. Ioannidou, V. P., & Penas, M. F. (2010). Deposit insurance and bank risk-taking: Evidence from internal loan ratings. Journal of Financial Intermediation, 19(1), 95–115. Jo, H., Kim, H., & Park, K. (2014). Corporate environmental responsibility and firm performance in the financial services sector. Journal of Business Ethics, 131(2), 257–284. Karels, G. V., & McClatchey, C. A. (1999). Deposit insurance and risk-taking behavior in the credit union industry. Journal of Banking & Finance, 23(1), 105–134. Keeley, M. C. (1990). Deposit Insurance, Risk, and Market Power in Banking. The American Economic Review, 80(5), 1183–1200. Kroszner, R. S., & Strahan, P. E. (2001c). Bankers on boards: monitoring, conflicts of interest, and lender liability. Journal of Financial Economics, 62(3), 415–452. Lian, Y., Gao, J., & Ye, T. (2022). How does green credit affect the financial performance of commercial banks? ——Evidence from China. Journal of Cleaner Production, 344, 131069. Marcus, A. J. (1984). Deregulation and bank financial policy. Journal of Banking & Finance, 8(4), 557–565. Merton, R. C. (1977). An analytic derivation of the cost of deposit insurance and loan guarantees: An application of modern option pricing theory. Journal of Banking & Finance, 1(1), 3-11. Mohsni, Sana & Otchere, Isaac. (2014). Risk taking behavior of privatized banks. Journal of Corporate Finance, 29, 122-142. Ogura, Y. (2006). Learning from a rival bank and lending boom. Journal of Financial Intermediation, 15(4), 535–555. Range of practice in banks’ internal ratings systems. (2000, January 18). https://www.bis.org/publ/bcbs66.htm Shang, X., & Niu, H. (2023). Does the digital transformation of banks affect green credit? Finance Research Letters, 58, 104394. Sironi, A. (2003). Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues. Journal of Money, Credit, and Banking, 35, 443–72. Stiglitz, J. E., & Weiss, A. (1981). Credit Rationing in Markets with Imperfect Information. The American Economic Review, 71(3), 393–410. Stomper, A. (2006b). A theory of banks’ industry expertise, market power, and credit risk. Management Science, 52(10), 1618–1633. Tabak, Benjamin M., Fazio, Dimas M., & Cajueiro, Daniel O. (2011). The effects of loan portfolio concentration on Brazilian banks’ return and risk. Journal of Banking & Finance, 35(11), 3065-3076. Venkatesh, J., & Kumari, R. L. (2012). Enhancing SMES access to green finance. International Journal of Marketing, Financial Services & Management Research, 1(7), 22–37. Wheelock, D. C. (1992). Deposit Insurance and Bank Failures: New Evidence from the 1920s. Economic Inquiry, 30(3), 530–543. Wheelock, D. C., & Wilson, P. W. (1995). Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency. The Review of Economics and Statistics, 77(4), 689–700. Wilcox, J. A., & Yasuda, Y. (2019). Government guarantees of loans to small businesses: Effects on banks’ risk-taking and non-guaranteed lending. Journal of Financial Intermediation, 37, 45–57. Zhan, X. (2018). Practice and institutional innovation in the development of green finance in China. Macroeconomic Management, Issue 1, 41–48. Zhang, B., Yang, Y., & Bi, J. (2011). Tracking the implementation of green credit policy in China: Top-down perspective and bottom-up reform. Journal of Environmental Management, 92(4), 1321–1327. Zhou, X. Y., Caldecott, B., Hoepner, A. G. F., & Wang, Y. (2022). Bank green lending and credit risk: an empirical analysis of China's Green Credit Policy. Business Strategy and the Environment, 31(4), 1623–1640. Zhu, Wenyu, & Yang, Jiawen. (2016). State ownership, cross-border acquisition, and risk-taking: Evidence from China’s banking industry. Journal of Banking & Finance, 71, 133-153.
描述 碩士
國立政治大學
財務管理學系
111357015
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357015
資料類型 thesis
dc.contributor.advisor 陳嬿如zh_TW
dc.contributor.advisor Chen, Yen-Ruen_US
dc.contributor.author (Authors) 王歆雅zh_TW
dc.contributor.author (Authors) Wang, Xin-Yaen_US
dc.creator (作者) 王歆雅zh_TW
dc.creator (作者) Wang, Xin-Yaen_US
dc.date (日期) 2024en_US
dc.date.accessioned 4-Sep-2024 15:25:55 (UTC+8)-
dc.date.available 4-Sep-2024 15:25:55 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2024 15:25:55 (UTC+8)-
dc.identifier (Other Identifiers) G0111357015en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/153485-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 111357015zh_TW
dc.description.abstract (摘要) 過去政府支持對銀行風險承擔的相關研究主要探討存款保險、擔保貸款、紓困擔保的領域，然而在簽訂巴黎協定、聯合國發布責任銀行原則後，各國政府於永續金融政策中以制訂利率補貼措施為主，試圖降低銀行因永續放貸上升帶來的信用風險。為滿足永續轉型投資的龐大資金需求，政府如何制定政策以鼓勵銀行提供永續放貸成為重要且急迫的課題。本研究使用2016至2023年間在RCEP國家經營永續放貸業務的銀行做為樣本，共蒐集2,249筆永續放貸比例與事前、事後風險承擔資料進行雙重差分法分析，探討利率補貼措施對銀行風險承擔的影響，以及有無永續放貸經驗對風險承擔的影響。研究結果顯示PRB發布後進行永續放貸時利率補貼措施對銀行風險承擔無顯著影響，有無永續放貸經驗也不會顯著影響銀行風險承擔。zh_TW
dc.description.abstract (摘要) Previous study regarding government support on banks' risk-taking has primarily discussed deposit insurance, guaranteed loans, and bailout policy. However, following Paris Agreement and United Nations' release of Principles for Responsible Banking (PRB), governments worldwide have focused on offering interest subsidy to firms, aiming to lower banks’ credit risk-taking from sustainable loan. To meet the substantial capital demand for sustainable transition investments, how governments formulate policies to encourage banks to provide sustainable loans has become an urgent issue. This study uses banks with sustainable lending in RCEP countries from 2016 to 2023 as samples, collecting 2,249 observations with sustainable loans ratio, ex-ante and ex-post risk-taking to conduct difference-in-difference analysis. The study investigates the impact of interest rate subsidy measures on banks' risk-taking and the influence of prior sustainable lending experience on risk-taking. The results indicate that interest subsidy measures have no significant impact on ex-ante and ex-post risk-taking, and prior lending experience does not significantly affect risk-taking.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機 1 第二節 研究架構 3 第二章 文獻探討 4 第一節 巴黎協定、責任銀行原則與永續金融政策 4 第二節 銀行風險承擔 5 第三節 永續放貸 7 第四節 研究假說 9 第三章 研究方法 12 第一節 樣本選取與資料來源 12 第二節 變數定義與說明 13 第三節 實證模型 15 第四章 實證結果與分析 17 第一節 敘述統計 17 第二節 實證結果分析 17 第五章 結論 22 參考文獻 23 附錄 變數定義 29zh_TW
dc.format.extent 3969436 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357015en_US
dc.subject (關鍵詞) 永續放貸zh_TW
dc.subject (關鍵詞) 風險承擔zh_TW
dc.subject (關鍵詞) 責任銀行原則zh_TW
dc.subject (關鍵詞) 利率補貼措施zh_TW
dc.subject (關鍵詞) 放貸經驗zh_TW
dc.subject (關鍵詞) Sustainable loanen_US
dc.subject (關鍵詞) Risk-takingen_US
dc.subject (關鍵詞) PRBen_US
dc.subject (關鍵詞) Interest subsidyen_US
dc.subject (關鍵詞) Lending experienceen_US
dc.title (題名) 銀行進行永續放貸對風險承擔之影響zh_TW
dc.title (題名) The impact of sustainable loan on banks’ risk-takingen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Allet, M., & Hudon, M. (2013). Green Microfinance: Characteristics of microfinance institutions involved in environmental management. Journal of Business Ethics, 126(3), 395–414. Alston, L. J., Grove, W. A., & Wheelock, D. C. (1994). Why Do Banks Fail? Evidence from the 1920s. Explorations in Economic History, 31(4), 409–431. Bester, H. (1985). Screening vs. Rationing in Credit Markets with Imperfect Information. The American Economic Review, 75(4), 850–855. Bester, H. (1987). The role of collateral in credit markets with imperfect information. European Economic Review, 31(4), 887–899. Buser, S. A., Chen, A. H., & Kane, E. J. (1981). Federal deposit insurance, regulatory policy, and optimal bank capital. Journal of Finance, 36(1), 51–60. Cheng, B., Ioannou, I., & Serafeim, G. (2013). Corporate social responsibility and access to finance. Strategic Management Journal, 35(1), 1–23. Climent, F., & Soriano, P. (2011). Green and good? The investment performance of US environmental mutual funds. Journal of Business Ethics, 103(2), 275–287. Cui, Y., Geobey, S., Weber, O., & Lin, H. (2018b). The impact of green lending on credit risk in China. Sustainability, 10(6), 2008. Dell'Ariccia, Giovanni. (2001). Asymmetric information and the struscture of the banking industry. European Economic Review, 45(10), 1957-1980. Dell’ariccia, G., & Marquez, R. (2006). Lending booms and lending standards. Journal of Finance, 61(5), 2511–2546. Dell’Ariccia, G., Igan, D., & Laeven, L. (2012). Credit booms and lending standards: Evidence from the subprime mortgage market. Journal of Money, Credit and Banking, 44(2‐3), 367-384. Dell’ariccia, G., Laeven, L., & Suarez, G. A. (2017). Bank Leverage and Monetary Policy’s Risk‐Taking Channel: Evidence from the United States. Journal of Finance, 72(2), 613–654. Demirgüç-Kunt, A., & Detragiache, E. (2002). Does deposit insurance increase banking system stability? An empirical investigation. Journal of Monetary Economics, 49(7), 1373–1406. Emtairah, T., Hansson, L., & Hao, G. (2005). Environmental Challenges and Opportunities for Banks in China: The Case of Industrial and Commercial Bank of China. Greener Management International, 50, 85–95. Eshet, A. (2017). Sustainable finance? The environmental impact of the “equator principles” and the credit industry. International Journal of Innovation and Sustainable Development, 11(2/3), 106. Faleye, O., & Krishnan, K. 2017. Risky lending: Does bank corporate governance matter? Journal of Banking & Finance, 83, 57-69. Flannery, Mark J. (1998). Using Market Information in Prudential Banking Supervision: A Review of U.S. Evidence. Journal of Money, Credit, and Banking, 30, 273–305. Foos, D., Norden, L., & Weber, M. (2010). Loan growth and riskiness of banks. Journal of Banking & Finance, 34(12), 2929-2940. Galloway, T. M., Lee, W. B., & Roden, D. M. (1997). Banks’ changing incentives and opportunities for risk taking. Journal of Banking & Finance, 21(4), 509–527. Gropp, R., Hakenes, H., & Schnabel, I. (2010). Competition, risk-shifting, and public bail-out policies. Review of Financial Studies, 24(6), 2084–2120. Gropp, R., Hakenes, H., & Schnabel, I. (2010). Competition, risk-shifting, and public bail-out policies. Review of Financial Studies, 24(6), 2084–2120. Gropp, R., Vesala, J., & Vulpes, G. (2006). Equity and Bond Market Signals as Leading Indicators of Bank Fragility. Journal of Money, Credit and Banking, 38(2), 399–428. Gropp, R., & Vesala, J. (2004). Deposit insurance, moral hazard and market monitoring. European Finance Review, 8(4), 571–602. Grossman, R. S. (1992). Deposit Insurance, Regulation, and Moral Hazard in the Thrift Industry: Evidence from the 1930’s. The American Economic Review, 82(4), 800–821. Hakenes, H., & Schnabel, I. (2010). Banks without parachutes: Competitive effects of government bail-out policies. Journal of Financial Stability, 6(3), 156–168. Hart, S. L. (1995). A Natural-Resource-Based view of the firm. Academy of Management Review, 20(4), 986–1014. Hovakimian, A., Kane, E. J., & Laeven, L. (2003). How Country and Safety-Net Characteristics Affect Bank Risk-Shifting. Journal of Financial Services Research, 23(3), 177–204. Iatridis, G. E. (2013). Environmental disclosure quality: Evidence on environmental performance, corporate governance and value relevance. Emerging Markets Review, 14, 55–75. Ioannidou, V. P., & Penas, M. F. (2010). Deposit insurance and bank risk-taking: Evidence from internal loan ratings. Journal of Financial Intermediation, 19(1), 95–115. Jo, H., Kim, H., & Park, K. (2014). Corporate environmental responsibility and firm performance in the financial services sector. Journal of Business Ethics, 131(2), 257–284. Karels, G. V., & McClatchey, C. A. (1999). Deposit insurance and risk-taking behavior in the credit union industry. Journal of Banking & Finance, 23(1), 105–134. Keeley, M. C. (1990). Deposit Insurance, Risk, and Market Power in Banking. The American Economic Review, 80(5), 1183–1200. Kroszner, R. S., & Strahan, P. E. (2001c). Bankers on boards: monitoring, conflicts of interest, and lender liability. Journal of Financial Economics, 62(3), 415–452. Lian, Y., Gao, J., & Ye, T. (2022). How does green credit affect the financial performance of commercial banks? ——Evidence from China. Journal of Cleaner Production, 344, 131069. Marcus, A. J. (1984). Deregulation and bank financial policy. Journal of Banking & Finance, 8(4), 557–565. Merton, R. C. (1977). An analytic derivation of the cost of deposit insurance and loan guarantees: An application of modern option pricing theory. Journal of Banking & Finance, 1(1), 3-11. Mohsni, Sana & Otchere, Isaac. (2014). Risk taking behavior of privatized banks. Journal of Corporate Finance, 29, 122-142. Ogura, Y. (2006). Learning from a rival bank and lending boom. Journal of Financial Intermediation, 15(4), 535–555. Range of practice in banks’ internal ratings systems. (2000, January 18). https://www.bis.org/publ/bcbs66.htm Shang, X., & Niu, H. (2023). Does the digital transformation of banks affect green credit? Finance Research Letters, 58, 104394. Sironi, A. (2003). Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues. Journal of Money, Credit, and Banking, 35, 443–72. Stiglitz, J. E., & Weiss, A. (1981). Credit Rationing in Markets with Imperfect Information. The American Economic Review, 71(3), 393–410. Stomper, A. (2006b). A theory of banks’ industry expertise, market power, and credit risk. Management Science, 52(10), 1618–1633. Tabak, Benjamin M., Fazio, Dimas M., & Cajueiro, Daniel O. (2011). The effects of loan portfolio concentration on Brazilian banks’ return and risk. Journal of Banking & Finance, 35(11), 3065-3076. Venkatesh, J., & Kumari, R. L. (2012). Enhancing SMES access to green finance. International Journal of Marketing, Financial Services & Management Research, 1(7), 22–37. Wheelock, D. C. (1992). Deposit Insurance and Bank Failures: New Evidence from the 1920s. Economic Inquiry, 30(3), 530–543. Wheelock, D. C., & Wilson, P. W. (1995). Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency. The Review of Economics and Statistics, 77(4), 689–700. Wilcox, J. A., & Yasuda, Y. (2019). Government guarantees of loans to small businesses: Effects on banks’ risk-taking and non-guaranteed lending. Journal of Financial Intermediation, 37, 45–57. Zhan, X. (2018). Practice and institutional innovation in the development of green finance in China. Macroeconomic Management, Issue 1, 41–48. Zhang, B., Yang, Y., & Bi, J. (2011). Tracking the implementation of green credit policy in China: Top-down perspective and bottom-up reform. Journal of Environmental Management, 92(4), 1321–1327. Zhou, X. Y., Caldecott, B., Hoepner, A. G. F., & Wang, Y. (2022). Bank green lending and credit risk: an empirical analysis of China's Green Credit Policy. Business Strategy and the Environment, 31(4), 1623–1640. Zhu, Wenyu, & Yang, Jiawen. (2016). State ownership, cross-border acquisition, and risk-taking: Evidence from China’s banking industry. Journal of Banking & Finance, 71, 133-153.zh_TW