Khám phá mối quan hệ nhân quả giữa hiệu quả thực hiện ESG và chất lượng tín dụng của ngân hàng tại các thị trường mới nổi
Từ khóa:
Chất lượng tín dụng, Hiệu quả thực hiện ESG, Quan hệ nhân quả Granger, Thị trường mới nổiTóm tắt
Nghiên cứu này kiểm tra mối quan hệ nhân quả giữa hiệu quả thực hiện ESG (Môi trường, Xã hội và Quản trị) và chất lượng tín dụng ngân hàng, được đo bằng dự phòng tổn thất tín dụng, tại 153 ngân hàng thuộc 12 quốc gia thị trường mới nổi giai đoạn 2010–2023. Sử dụng mô hình nhân quả Granger và dữ liệu tài chính, nghiên cứu cho thấy ESG có khả năng dự báo dự phòng tổn thất tín dụng và các chỉ số sinh lời như tỷ suất lợi nhuận trên tài sản, thu nhập lãi ròng; quy mô ngân hàng; tỷ lệ an toàn vốn cấp 1; và tăng trưởng GDP. Kết quả này khẳng định vai trò của ESG như một công cụ hỗ trợ dự báo và kiểm soát rủi ro tín dụng, đồng thời gợi ý việc tích hợp ESG vào khung giám sát ngân hàng nhằm nâng cao sự ổn định và phát triển bền vững.
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