存款保险限额研究——银行风险承担视角

›› 2017, Vol. 29 ›› Issue (10): 9-20.

存款保险限额研究——银行风险承担视角

赵尚梅, 刘娜, 贺江, 常一鸣

北京航空航天大学经济管理学院, 北京 100191

收稿日期:2015-10-07 出版日期:2017-10-28 发布日期:2017-11-01
通讯作者: 常一鸣(通讯作者),北京航空航天大学经济管理学院博士研究生
作者简介:赵尚梅,北京航空航天大学经济管理学院教授,博士生导师,博士;刘娜,北京航空航天大学经济管理学院博士研究生;贺江,北京航空航天大学经济管理学院博士研究生
基金资助:
国家自然科学基金面上项目（71373017；70973007）。

Study on Deposit Insurance Coverage Limit for Bank Risk-taking Minimization

Zhao Shangmei, Liu Na, He Jiang, Chang Yiming

School of Economics and Management, Beihang University, Beijing 100191

Received:2015-10-07 Online:2017-10-28 Published:2017-11-01

摘要/Abstract

摘要：

本文基于银行风险承担最小化视角，研究了显性存款保险限额的确定。结果表明，样本国家的银行风险承担与显性存款保险限额之间呈现出U型关系；当居民储蓄率较高或者银行存贷利差较低时，这种关系更加明显。进一步分析发现，实际存款保险限额偏离银行风险承担最小的保险限额越大，银行风险承担越高。中国已经实施的50万元人民币存款保险限额，高于银行风险承担最小时模型估计的29万元人民币保险限额，会增加银行的风险承担激励。

关键词: 存款保险限额, 银行风险承担, 居民储蓄率, 存贷利差

Abstract:

From the perspective of minimizing bank risk-taking, this paper studies the determination of explicit deposit insurance coverage limits. The results show that there is a U-shaped relationship between bank risk-taking and coverage limit and the relationship will be more pronounced in countries with higher household saving rate or lower interest spreads. Further analysis shows that the bank risk-taking is higher when the deviation between actual coverage limits and bank risk-minimizing ones is higher. China has a RMB 500,000 limit which is higher than the RMB 290,000 limit that the model predicts and is bad for the bank risk-taking.

Key words: coverage limit, bank risk-taking, household saving rate, interest spreads

赵尚梅, 刘娜, 贺江, 常一鸣. 存款保险限额研究——银行风险承担视角[J]. , 2017, 29(10): 9-20.

Zhao Shangmei, Liu Na, He Jiang, Chang Yiming. Study on Deposit Insurance Coverage Limit for Bank Risk-taking Minimization[J]. , 2017, 29(10): 9-20.

参考文献

[1] Wheelock D. C. Deposit Insurance and Bank Failures:New Evidence From The 1920s[J]. Economic Inquiry, 1992,30(3):530-543
[2] Chernykh L., Cole R. A. Does Deposit Insurance Improve Financial Intermediation? Evidence From The Russian Experiment[J]. Journal of Banking and Finance, 2011,35(2):388-402
[3] Fonseca A. R, González F. How Bank Capital Buffers Vary Across Countries:The Influence of Cost of Deposits, Market Power and Bank Regulation[J]. Journal of Banking and Finance, 2010,34(4):892-902
[4] Demirgüç-Kunt A., Huizinga H. Market Discipline and Deposit Insurance[J]. Journal of Monetary Economics, 2004,51(2):375-399
[5] Duran M., Lozano-Vivas A. Moral Hazard and The Financial Structure of Banks[J]. Journal of International Financial Markets, Institutions and Money, 2015,34(1):28-40
[6] 王晓博,辛飞飞,冯净冰. 存款保险制度下银行存贷业务道德风险的影响因素[J]. 管理评论, 2015,27(7):33-42
[7] Martin A. Liquidity Provision vs. Deposit Insurance:Preventing Bank Panics Without Moral Hazard[J]. Economic Theory, 2006,28(1):197-211
[8] Eichengreen B., Arteta C. Banking Crises in Emerging Markets:Presumptions and Evidence[M]. In:Blejer MI, Škreb M (eds) Financial Policies in Emerging Markets. Cambridge:MIT Press, 2002
[9] Hovakimian A., Kane E. J., Laeven L. How Country and Safety-Net Characteristics Affect Bank Risk-Shifting[J]. Journal of Financial Services Research, 2003,23(3):177-204
[10] Lambert C., Noth F., Schuwer U. How Do Insured Deposit Affect Bank Risk? Evidence From The 2008 Emergency Economic Stabilization Act[J]. Journal of Financial Intermediation, 2017,29(1):81-102
[11] 陆桂娟. 存款保险的经济学分析[J]. 金融研究, 2006,(5):113-120
[12] 姚志勇,夏凡. 最优存款保险设计——国际经验与理论分析[J]. 金融研究, 2012,(7):98-111
[13] Barth J. R., Caprio Jr. G., Levine R. Bank Regulation and Supervision:What Works Best?[J]. Journal of Financial Intermediation, 2004,13(2):205-248
[14] Demirgüç-Kunt A., Detragiache E. Does Deposit Insurance Increase Banking System Stability? An Empirical Investigation[J]. Journal of Monetary Economics, 2002,49(7):1373-1406
[15] Nier E., Baumann U. Market Discipline, Disclosure and Moral Hazard in Banking[J]. Journal of Financial Intermediation, 2006,15(3):332-361
[16] Anginer D., Demirguc-Kunt A., Zhu M. How Does Deposit Insurance Affect Bank Risk? Evidence From The Recent Crisis[J]. Journal of Banking and Finance, 2014,48(11):312-321
[17] Dreyfus J. F., Saunders A., Allen L. Deposit Insurance and Regulatory Forbearance:Are Caps on Insured Deposits Optimal?[J]. Journal of Money, Credit and Banking, 1994,26(3):412-438
[18] Manz M. The Optimal Level of Deposit Insurance Coverage[R]. Federal Reserve Bank of Boston, 2009
[19] Martin A. A Guide to Deposit Insurance Reform[J]. Economic Review-Federal Reserve Bank of Kansas City, 2002,88(1):29-54
[20] Angkinand A., Wihlborg C. Deposit Insurance Coverage, Credibility of Non-Insurance and Banking Crisis[R]. Center for Law, Economics and Financial Institutions at CBS (LEFIC), Copenhagen Business School, Working Paper, 2005
[21] Angkinand A., Wihlborg C. Deposit Insurance Coverage, Ownership, and Banks' Risk-Taking in Emerging Markets[J]. Journal of International Money and Finance, 2010,29(2):252-274
[22] Mody A., Ohnsorge F., Sandri D. Precautionary Savings in The Great Recession[J]. IMF Economic Review, 2012,60(1):114-138
[23] Weil P. Equilibrium Asset Prices with Undiversifiable Labor Income Risk[J]. Journal of Economic Dynamics and Control, 1992,16(3):769-790
[24] Mercer Z. C. Valuing Financial Institutions[M]. Illinois:Business One Irwin, 1992
[25] Dell'Ariccia G., Marquez R. Lending Booms and Lending Standards[J]. Journal of Finance, 2006,61(5):2511-2546
[26] Boyd J. H, Graham S. L. The Profitability and Risk Effects of Allowing Bank Holding Companies to Merge with Other Financial Firms:A Simulation Study[J]. Federal Reserve Bank of Minneapolis Quarterly Review, 1988,12(2):3-20