Interlinking Climate Risk, Systemic Risk, and ESG Disclosures Scores: Evidence From Emerging Market Economies

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:Provides first cross-country EME evidence on the climate–systemic risk nexus and the moderating role of ESG disclosures.

🏢実務担当者:Highlights the risk-mitigating value of ESG disclosures for bank managers, especially for systemically important institutions.

🏛政策担当者:Informs climate stress-testing frameworks, disclosure regulations, and capital requirement alignment with climate risks.

ABSTRACT This study examines the impact of climate risk on the systemic risk levels of commercial banks operating in emerging market economies (EMEs) and assesses whether the combined ESG disclosure score and its individual E, S, and G components moderate this relationship. We also examine the effects of heterogeneity based on bank size. Utilizing a panel dataset of 148 listed banks across the top 20 EMEs from 2015 to 2022, we employ Pooled Ordinary Least Squares and the two‐step System Generalized Method of Moments (GMM) to address endogeneity problems. The results indicate that climate risk significantly increases the banks' systemic risk levels in line with Natural Resource‐Based view, Climate Risk, and Environmental Risk Management Theory. It is also observed that an increase in ESG disclosure scores reduces the adverse impacts of climate risk on systemic risk, in accordance with Stakeholder and Legitimacy Theory. Moreover, the disaggregated analysis underscores the differential impact of the individual ESG pillars in lowering systemic vulnerability. Size‐based heterogeneity analysis demonstrates that climate risk has a greater systemic impact on larger banks, whereas the risk‐mitigating effect of ESG disclosure—particularly governance—is more prominent for systemically important institutions. The findings of this study contribute to the literature by presenting the first cross‐country evidence from EMEs on the buffering potential of ESG disclosures in the climate–systemic risk nexus, while also addressing the role of country‐level uncertainty. These findings remain consistent across several robustness checks such as alternate systemic risk measures, estimation techniques, alternative samples, and difference‐in‐difference (DiD) analysis. These findings have important implications for regulators, policymakers, and bank managers, notably in creating climate stress‐testing frameworks, improving disclosure regulations, and aligning capital requirements with climate and ESG‐related risks.

• openalex https://doi.org/10.1002/bse.71332first seen 2026-07-26 05:34:57