中国的显性存款保险制度与银行风险  

China's Explicit Deposit Insurance System and Its Effect on Bank Risk

作　　者：项后军 张清俊 XIANG Houjun;ZHANG Qingjun(School of Finance&Investment,Guangdong University of Finance;School of Economics and Finance,Xi an Jiaotong University)

机构地区：[1]广东金融学院金融与投资学院,510521 [2]西安交通大学经济与金融学院,710061

出　　处：《经济研究》2020年第12期165-181,共17页Economic Research Journal

基　　金：国家自然科学基金项目(71573224、71973035);广东省普通高校创新团队项目(人文社科类)资产管理研究团队(2018WCXTD004)的资助。

摘　　要：既有研究表明存款保险制度的实施显著增加了部分银行的风险,这显然与存款保险制度实施的初衷相悖。有鉴于此,本文结合中国存款保险制度从完全隐性转变成有限显性的特殊背景,基于因果中介分析视角,采用119家银行2009—2017年的微观数据,研究了显性存款保险制度影响银行风险的因果中介机制。研究发现,特许权价值确实是显性存款保险制度影响银行风险的一个重要机制,即显性存款保险制度实施后减少了对于银行的保护,削弱了原本由隐性存款保险带给银行的特许权价值,从而引致银行具有更高的风险承担动机,进而造成银行风险的上升。此外,本文还对其他可能的中介机制进行了检验及比较分析,并提出银行风险管理实践中应兼顾外部监管和银行自我约束等政策建议。The deposit insurance system(DIS)is one of the three pillars of the financial safety net and an important institutional arrangement to protect depositors'interests.China established the DIS to promote prudent and sound operation of banking and financial institutions,prevent and resolve financial risks promptly,maintain financial stability and facilitate further financial reforms.However,existing studies have shown that the implementation of the DIS in China has significantly increased bank risk,which is contrary to previous theories and the original intention of implementing the DIS.The reason for the contradiction is that the earlier theories are mainly proposed by U.S.scholars and do not fit the actual situation of China.As the banks had been barely intervened or protected by the government in the U.S.before,the introduction of the flat-rate DIS in the U.S.improved bank protection and weakened bank governance and market discipline,thereby inducing moral hazard.However,the transformation from completely implicit DIS to limited explicit DIS in China reduced bank protection.In addition,China implements a differential-rate DIS,and the external supervision is becoming increasingly strict.These external factors are conducive to strengthening bank governance and market discipline.Thus,the increase in bank risk caused by the DIS is due to internal factors rather than external factors.Because the bank charter value has a self-discipline effect on restraining banks'risk-taking,this paper proposes that explicit DIS increases bank risk by reducing charter value and weakening its self-discipline effect.Based on the Black-Scholes option pricing model,this article first establishes a theoretical model regarding bank shareholders'equity as a European call option and deposit insurance as a European put option.Under implicit DIS,bank shareholders can be viewed as buyers of a call option and a put option.However,as they do not have to pay premium for the put option,banks are encouraged to take risks under implicit DIS.Meanwhile,t

关 键 词：显性存款保险制度 特许权价值 银行风险 因果中介分析 

分 类 号：F83[经济管理—金融学]