| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP15816
|
| DP15816 Social Responsibility and Bank Resiliency |
| Thomas Gehrig; Stephan Unger
|
| 发表日期 | 2021-02-16
|
| 出版年 | 2021
|
| 语种 | 英语
|
| 摘要 | We provide transatlantic evidence about the relation between social responsibility and resiliency in the banking industry. We analyse various measures of resiliency, an exposure measure (SRISK) and a contribution measure (Delta CoVaR) to systemic risk, as well as measures of systematic risk (beta) and insolvency risk (z-score). Social responsibility is measured by Thomson Reuters' ESG-scores and their subcategories, both according to the older Asset 4 and the present TR ESG Refinitiv classification. We find that the social aggregate score significantly enhances resiliency in all dimensions and in both classifications. On the level of subcategories, we identify significant common resiliency enhancing factor proxies for long-term orientation, such as product responsibility and workforce training, while short-term objectives proxied by shareholder orientation tend to relate to lower levels of resiliency. Looking deeper into the components of each ESG pillar, we also discover significant transatlantic differences mainly related to the different organization of labour markets as well as the board structure. |
| 主题 | Financial Economics
|
| 关键词 | Esg-scores
Systemic risk
Bank resiliency
Financial stability
Capital shortfall
Sustainable banking
|
| URL | https://cepr.org/publications/dp15816
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544815
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推荐引用方式
GB/T 7714 |
Thomas Gehrig,Stephan Unger. DP15816 Social Responsibility and Bank Resiliency. 2021.
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