中国政府对上市银行的隐性救助概率和救助成本  

Chinese Government's Implicit Bailout Probabilities and Bailout Costs for the Listed Banks

作　　者：许友传[1] 刘庆富[1] 陈可桢[2] 

机构地区：[1]复旦大学经济学院,上海200433 [2]天津财经大学经济学院,天津300222

出　　处：《金融研究》2012年第10期60-74,共15页Journal of Financial Research

基　　金：国家自然科学基金(70903012);教育部人文社会科学研究基金(09YJC790045);复旦大学金苗项目(09JM030)的资助

摘　　要：本文结合我国银行业特有的隐性保险和监管救助特点,在标准的期权定价方法和分析范式内,分别给出了零监管宽容和监管宽容下政府对银行的各种隐性救助概率和救助成本的测度公式,并基于我国上市银行可观测的股权价值序列等信息,估计了政府对它们的隐性救助概率和救助成本。研究表明:(1)在零监管宽容下,监管当局对上市银行以债务加权的隐性救助概率为1.59%,隐性救助成本占上市银行同期债务总值的0.04%;(2)监管当局对上市银行的隐性救助成本与其救助方式密切相关,且监管宽容极大地提高了其隐性救助成本,譬如当监管宽容系数ρ从1分别降至0.95和0.9时,其隐性救助成本占上市银行同期债务总值的比例将分别提高至0.07%和0.15%。同样地,本文结论适用于将来显性存款保险体制下,存款保险机构根据特定银行的历史风险特征或风险承担倾向,所应进行的风险调整的保险费率设计与定价要求。Combing with the implicit insurance practice and regulatory bailout characteristic of the banking industry in China, the paper puts forward multifarious measurement formulas for government＇s implicit bailout probabilities and bailout costs under the conditions of zero regulatory forbearance and regulatory forbearance respectively based on the standard option pricing approach and analysis framework. We estimate the dynamic charaeteristic parameters of asset values based on the observable equity values series of the listed banks, the implicit bailout probabilities and bailout costs are estimated as well. It is found that （ 1 ） the government＇s implicit bailout probability weighted by total liabilities of listed banks is 1.59%, the implicit bailout cost reaches to 0. 04% of the total liabilities values at the corresponding period. （2） The government＇s implicit bailout costs have close connections with its bailout modes, and regulatory forbearance significantly increases the government＇s implicit bailout costs. For example, the government＇s implicit bailout costs will rise to 0. 07% and 0. 15% of the total liabilities values at the corresponding period when the regulatory forbearance parameterdrops to 0. 95 and 0. 9 respectively. Similarly, these conclusions can be generalized and applied to the risk - adjusted premium design and pricing under the explicit deposit insurance system in future.

关 键 词：隐性救助 监管宽容 隐性存款保险 流动性价值 

分 类 号：F832.3[经济管理—金融学] F832.51F224