Social Responsibility and Bank Resiliency

Thomas Gehrig and Stephan Unger
Authors registered in the RePEc Author Service: Maria Chiara Iannino

No 15816, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Esg-scores; Systemic risk; Bank resiliency; Financial stability; Capital shortfall; Sustainable banking (search for similar items in EconPapers)
JEL-codes: F33 G12 G21 G24 M14 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Social responsibility and bank resiliency (2024)
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