環境政策嚴格度與銀行風險：綠色經濟是否重要？

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研究生：	洪珮瑄 Pei-Hsuan Hong
論文名稱：	環境政策嚴格度與銀行風險：綠色經濟是否重要？ Environmental Policy Stringency and Bank Risks: Does Green Economy Matter?
指導教授：	王志瑋 Chih-Wei Wang
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
論文出版年：	2024
畢業學年度：	112
語文別：	英文
論文頁數：	58
中文關鍵詞：	環境政策嚴格度、銀行風險、綠色經濟
外文關鍵詞：	environmental policy stringency, bank risks, green economy
相關次數：	點閱：18 下載：1
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這項研究探討了環境政策嚴格度與銀行風險之間的關係，並進一步探討了環境政策嚴格度透過綠色經濟機制對銀行風險的影響。我們的研究主要結果顯示，環境政策嚴格度可能會直接地增加銀行風險。此外，我們發現環境政策嚴格度透過綠色經濟機制有助於減輕銀行風險，而我們也確定環境政策嚴格度在亞洲和歐洲以及非危機期間更加顯著地增加銀行風險，且對於資本較高、槓桿率較低且位於已開發國家的銀行來說，環境政策嚴格度對銀行風險的影響變得越來越重要。

This study examines the relationship between environmental policy stringency (EPS) and bank risks, with an additional focus on exploring the influence of EPS on bank risks through the mechanism of green economy. The primary result of our study reveals that EPS can increase bank risks. Additionally, we find that EPS contributes to mitigating bank risks through the channel of green economy. Moreover, we identify that EPS can more prominently increase bank risks in both Asia and Europe and during non-crisis periods. Furthermore, for banks with greater capital, lower leverage, and in developed countries, the favorable influence of EPS on bank risks becomes increasingly noteworthy.

Table of Contents
Abstract -------------------------------------------------------------------------------------------------- i
摘要 ------------------------------------------------------------------------------------------------------- ii
1. Introduction --------------------------------------------------------------------------------------- 1
2. Literature review and hypotheses ------------------------------------------------------------ 5
2.1. The relationship between EPS and bank risks --------------------------------------- 5
2.2. The channel of green economy --------------------------------------------------------- 6
3. Data and variable constructions -------------------------------------------------------------- 8
3.1. Data source ------------------------------------------------------------------------------ 8
3.2. Environmental policy stringency (EPS) ------------------------------------------ 8
3.3. Bank risks ------------------------------------------------------------------------------- 9
3.4. Control variables --------------------------------------------------------------------- 10
4. Methodology ----------------------------------------------------------------------------------- 11
4.1. Baseline regression ------------------------------------------------------------------ 11
4.2. Mechanism analysis ----------------------------------------------------------------- 12
4.3. Summary statistics -------------------------------------------------------------------- 13
5. Empirical results -------------------------------------------------------------------------------- 14
5.1. The baseline regression ----------------------------------------------------------------- 14
5.2. Endogeneity issue ------------------------------------------------------------------------ 16
5.3. Mechanism analysis --------------------------------------------------------------------- 17
5.4. Alternative measures -------------------------------------------------------------------- 18
5.5. Subsample analysis ---------------------------------------------------------------------- 19
5.5.1. Regional analysis---------------------------------------------------------------- 19
5.5.2. Crisis periods--------------------------------------------------------------------- 20
5.5.3. Bank characteristics ------------------------------------------------------------ 21
5.5.4. Macroeconomic characteristics ---------------------------------------------- 22
6. Conclusion and implications ------------------------------------------------------------------- 23
Appendix A.Variable definition and data sources -------------------------------------------- 26
Appendix B.OECD EPS country list ------------------------------------------------------------ 28
Appendix C.Countries in BankFocus ------------------------------------------------------------ 29
Appendix D.Country list of out sample --------------------------------------------------------- 31
Appendix E.Correlation coefficient -------------------------------------------------------------- 31
Appendix F.The effect of EPS on climate risk ------------------------------------------------ 32
Appendix G.The effect of climate risk on z-score -------------------------------------------- 32
References --------------------------------------------------------------------------------------------- 32
List of Figures
Figure 1. The effect of EPS on bank risks- full sample .......................................... 37
Figure 2. The effect of EPS on bank risks-Asia ...................................................... 38
Figure 3. The effect of EPS on bank risks-Europe .................................................. 38
List of Tables
Table 1. Summary statistics .................................................................................. 39
Table 2. The effect of EPS on bank risks – full sample ........................................ 40
Table 3. Two-stage least square approach with IVs of EPS on bank risks ........... 41
Table 4. Mechanism analysis ................................................................................ 42
Table 5. The effect of EPS on bank risks: alternative measures of bank risks ..... 43
Table 6. The effect of climate risks on bank risks ................................................ 44
Table 7. The effect of EPS on bank risks: region analysis.................................... 45
Table 8. The effect of EPS on bank risks: crisis periods ...................................... 46
Table 9. The effect of EPS on bank risks: bank capital ........................................ 47
Table 10. The effect of EPS on bank risks: bank leverage ................................... 48
Table 11. The effect of EPS on bank risks: education expenditure ...................... 49
Table 12. The effect of EPS on bank risks: labor force ........................................ 50
                                

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