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ESG投资能够促进银行创造流动性吗?——兼论经济政策不确定性的调节效应
引用本文:宋科,徐蕾,李振,王芳. ESG投资能够促进银行创造流动性吗?——兼论经济政策不确定性的调节效应[J]. 金融研究, 2022, 500(2): 61-79
作者姓名:宋科  徐蕾  李振  王芳
作者单位:中国人民大学财政金融学院,北京 100872;复旦大学大数据学院,上海 200433
基金项目:* 本文感谢国家自然科学基金应急管理项目(71850009)、广东省哲学社会科学“十四五”规划青年项目(GD21YYJ07)、中国博士后科学基金面上项目(2020M680048)的资助。感谢匿名审稿人的宝贵意见,文责自负。
摘    要:当前在我国致力于实现“碳达峰、碳中和”目标的大背景下,银行能否通过ESG投资促进流动性创造,进而推动高质量发展具有重大战略意义。本文利用2009年第一季度至2020年第二季度中国36家上市银行的面板数据,实证分析ESG投资对银行流动性创造的影响,并将其置于经济政策不确定性条件下予以讨论。研究发现:第一,ESG投资整体上促进流动性创造,表现为对资产端和负债端流动性创造的促进作用,以及对表外流动性创造的抑制作用。从ESG投资结构看,环境保护投资和社会责任投资均抑制流动性创造,而公司治理投资则促进流动性创造。异质性分析表明,地方性银行和资本短缺银行的ESG投资对流动性创造具有更强的促进作用。第二,中介机制分析发现,ESG投资主要通过“盈利”和“风险”渠道促进流动性创造。第三,在经济政策不确定性上升时期,ESG投资对流动性创造的促进作用更加显著。从ESG投资分项看,经济政策不确定性会增强环境保护投资和社会责任投资对流动性创造的抑制作用,以及公司治理投资对流动性创造的促进作用。本文结论为充分发挥ESG投资作用并以此推动高质量发展提供了政策启示。

关 键 词:ESG投资  银行流动性创造  “风险”渠道  “盈利”渠道  经济政策不确定性  

ESG Investment and Bank Liquidity Creation: The Moderating Effect of Economic Policy Uncertainty
SONG Ke,XU Lei,LI Zhen,WANG Fang. ESG Investment and Bank Liquidity Creation: The Moderating Effect of Economic Policy Uncertainty[J]. Journal of Financial Research, 2022, 500(2): 61-79
Authors:SONG Ke  XU Lei  LI Zhen  WANG Fang
Affiliation:School of Finance, Renmin University of China; School of Data Science, Fudan University
Abstract:In the current efforts to achieve “carbon peak” and “carbon neutral,” ESG investment is an increasingly important standard for measuring the sustainability of commercial banks. Thus, ESG investment can be considered a further extension of corporate social responsibility. Several studies on related topics enrich our understanding of the motives and economic consequences of corporate social responsibility; however, these studies still have several drawbacks. First, most studies are concerned with nonfinancial companies and direct studies of the banking sector are rare. Second, among the small number of bank-related studies, most explore the relationship between bank social responsibility and financial performance. However, as an important means of reputation management, ESG investment requires banks to integrate ESG principles into their daily business, which has multidimensional impacts on bank performance, especially bank liquidity creation.
Liquidity creation is one of the core functions of modern commercial banks. Moderate liquidity creation improves market financing conditions, which promotes high-quality development. First, banks can create liquidity on their balance sheets by converting their liquid liabilities into illiquid assets. Second, banks can create off-balance sheet liquidity by providing customers with credit commitments. Based on the liquidity creation measurement method proposed by Berger and Bouwman (2009), many studies explore the factors influencing liquidity creation, but no studies systematically analyze the relationship between ESG investment and bank liquidity creation. Theoretically, ESG investment may affect liquidity creation in two opposite ways. On the one hand, as a means of reputation management, ESG investment may promote liquidity creation through a reputation spillover effect. On the other hand, a reputation constraint effect associated with ESG investment may suppress liquidity creation.
Based on the panel data from 36 listed banks in China from 2009Q1 to 2020Q2, this paper constructs liquidity creation indicators according to Berger and Bouwman (2009), and uses ESG rating data from Sino-Securities Index to empirically examine the relationship between ESG investment and bank liquidity creation. Economic policy uncertainty is also introduced into our model to explore how it affects the relationship between ESG investment and liquidity creation. The main results of this paper are as follows. First, the reputation spillover effect of ESG investment is greater than the reputation constraint effect; therefore, ESG investment promotes overall liquidity creation, but its impact has certain structural differences. From the perspective of the liquidity creation structure, ESG investment can promote bank liquidity creation from the asset and liability sides while suppressing bank off-balance sheet liquidity creation. From the perspective of the ESG investment structure, corporate governance investment can promote liquidity creation, while environmental protection investment and social responsibility investment can suppress liquidity creation. Based on the heterogeneity analysis, the positive impact of ESG investment on liquidity creation is especially distinct in local banks and capital-deficient banks. Second, according to the intermediary effect analysis, the reputation spillover effect of ESG investment promotes liquidity creation through the “profit” channel, which improves banks' profitability and reduces income diversification, and through the “risk” channel, which increases banks' risk tolerance. Third, economic policy uncertainty can magnify the reputation spillover effect of ESG investment and strengthen its positive impact on bank liquidity creation. From the perspective of the ESG investment structure, economic policy uncertainty will strengthen the positive impact of corporate governance investment on liquidity creation and deepen the negative impact of environmental protection investment and social responsibility investment on bank liquidity creation. This paper provides important policy inspiration to promote the development of ESG Investment and realize high-quality economic development.
This paper makes three marginal contributions to the literature. First, this paper systematically examines the impact of ESG investment on bank liquidity creation, which enriches the relevant literature on the relationship between ESG investment and bank performance. Second, this paper reveals how ESG investment affects bank liquidity creation. Based on the intermediary effect test method proposed by Baron and Kenny (1986), this paper examines whether ESG investment promotes liquidity creation through the “profit” and “risk” channels. Third, against the current background of increasing economic policy uncertainty, this paper further introduces economic policy uncertainty into the model and examines its asymmetric impact on the relationship between ESG investment and bank liquidity creation, providing relevant empirical evidence.
Keywords:ESG Investment  Bank Liquidity Creation  Risk Channel  Profit Channel  Economic Policy Uncertainty  
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