监管惩罚、监管宽容和存款保险价格  

Regulatory penalty,regulatory forbearance and the price of deposit insurance in China

作　　者：明雷[1] 杨胜刚[1] 邓世杰 MING Lei;YANG Sheng-gang;DENG Shi-jie(College of finance and statistics,Hunan University,Changsha 410079,China;Department of Industrial and Systems Engineering,Georgia Institute of Technology,Atlanta 31308,USA)

机构地区：[1]湖南大学金融与统计学院,长沙410079 [2]佐治亚理工学院工业工程系,亚特兰大30318

出　　处：《管理科学学报》2019年第8期59-70,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71790593;71850006;71903051)

摘　　要：存款保险制度在维持金融稳定和保护存款人利益方面具有重要作用,其最为核心的问题是存款保险费率的确定.文章在Merton模型框架下将监管惩罚和监管宽容同时引入存款保险定价模型,并探究了存款保险价格和银行风险偏好之间的关系.研究发现,银行的存款保险费率和银行资产储蓄比呈现负相关关系.当监管惩罚力度加大时,银行的风险偏好降低,存款保险费率会也降低,这说明惩罚措施有利于维护金融稳定.研究还发现,监管宽容程度越高,银行的风险偏好也越高,进而存款保险价格越高.存款保险费率测算结果表明:相比较而言,“次贷危机”和“股灾”对城市银行的存款保险费率影响最大,对股份制银行的存款保险费率影响有限,而对国有银行存款保险费率基本没有影响.In this paper,regulatory penalty and regulatory forbearance are incorporated into the deposit insurance pricing model under the framework of Merton(1978).The relationship between deposit insurance price and risk preference of bank is analyzed.Initially,there is a negative relation between premium rate of deposit insurance and the asset-deposit ratio of bank.When the intensity of regulatory penalty is larger,the risk preference of bank becomes smaller and the premium rate of deposit insurance is smaller.It means that regulatory penalty plays an important role in keeping the finance system stable.In addition,the risk preference of banks and the premium rate of deposit insurance are both larger when the coefficient of regulatory forbearance is smaller.Moreover,the premium rate of deposit insurance of city banks was greatly affected by both the subprime crisis in 2008 and the stock market crash in 2015,while that of state-owned banks was almost not affected,and that of joint-stock banks was affected to a very minor degree.

关 键 词：监管惩罚 监管宽容 差别化费率 存款保险定价 

分 类 号：F830[经济管理—金融学]