Purpose

With the macroprudential approach, systemic risk is explained by a general equilibrium (GE) model. However, since on-balance-sheet and off-balance-sheet (OBS) risks are structurally segmented, for example annually or periodically on financial statements, the GE model might need further integration with OBS risks including ecological shocks.

Design/methodology/approach

This study develops a theoretical two-period model with consumption, investment and loans, which further includes carbon emissions to distinguish between loans for “green” or “brown” firms to enhance the perspective of ecological sustainability.

Findings

The paper shows how the environmental, social and governance (ESG) factors might be of relevance in the standard bank capital regulatory structure. In dealing with ecological sustainability, a new methodological framework with the green K-index introduces penalties to be paid in the capital structure related to ESG factors. The model is enhanced for screening green or brown firms related to impact investing. The integrated view of financial stability and ecological sustainability further illuminates how a wide cross-sectoral resilience of a green K-index measure for the economy might be achievable.

Research limitations/implications

A stock-flow consistent model with balance-sheet methods raises the question whether all necessary variables and parameters can be computed in practice. Compared to the agent-based model (ABM), this model additionally lacks inputs from agents' behaviour, thus non-rational decisions, which may be relevant in practice. More generally, by adopting a balance-sheet structure, the model shows a coherent framework with relevant variables. The methodology of the GE model with OBS has not been scholarly explored and thus is presented for discussion rather than generalisation. The GE model with OBS provides a new interpretation of systemic risk and interbank relations with a consideration of ecological aspects. Its economic implication contributes to contemporary banking theory as well as to the sustainability discussions in the larger financial sector.

Practical implications

Banks and investors can more carefully measure the ecological risks in their loan portfolios and make better informed decisions leading to a better sustainability of the financial markets.

Originality/value

This study develops a theoretical GE model with off-balance-sheet risks. The model adds green regulation enhancing the capital regulation framework relevant to sustainability. This, in turn, enhances the role of banks in a coherent economic framework for loan decisions towards a much greener finance.

中文翻译：

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将金融和生态可持续性结合到银行资本法规中

目的

使用宏观审慎方法，可以通过一般均衡（GE）模型来解释系统性风险。但是，由于表内和表外（OBS）风险在结构上进行了细分，例如每年或定期在财务报表中进行细分，因此GE模型可能需要与包括生态冲击在内的OBS风险进行进一步整合。

设计/方法/方法

这项研究建立了一个具有消费，投资和贷款的理论上的两个时期模型，该模型还包括碳排放量，以区分“绿色”或“棕色”公司的贷款，从而增强了生态可持续性的观点。

发现

本文显示了环境，社会和治理（ESG）因素在标准银行资本监管结构中可能如何相关。在处理生态可持续性方面，采用绿色K指数的新方法框架引入了与ESG因素相关的资本结构中应支付的罚款。增强了该模型，以筛选与影响力投资相关的绿色或棕色公司。金融稳定性和生态可持续性的综合观点进一步阐明了如何实现绿色K指标对经济的广泛跨部门适应力。

研究局限/意义

具有资产负债表方法的存量流量一致模型提出了一个问题，即是否可以在实践中计算所有必要的变量和参数。与基于代理的模型（ABM）相比，该模型还缺少来自代理行为的输入，因此，非理性决策在实践中可能是相关的。更一般地，通过采用资产负债表结构，该模型显示了一个具有相关变量的连贯框架。尚未对具有OBS的GE模型的方法进行学术研究，因此仅用于讨论而不是概括。考虑到生态方面的因素，带有OBS的GE模型为系统风险和银行间关系提供了新的解释。它的经济意义有助于当代银行理论以及大型金融领域的可持续性讨论。

实际影响

银行和投资者可以更仔细地衡量其贷款组合中的生态风险，并做出更明智的决策，从而改善金融市场的可持续性。

创意/价值

这项研究建立了具有表外风险的理论GE模型。该模型增加了绿色监管，从而增强了与可持续性相关的资本监管框架。反过来，这又增强了银行在一致的经济框架中的作用，以便为更绿色的金融做出贷款决策。