存款保险制度、风险承担与银行绩效——基于风险转移的视角  

Deposit Insurance System,Risk-taking and Bank Performance——From the Perspective of Risk Transfer

作　　者：王晓博[1] 刘伟[1] 辛飞飞[2] Wang Xiaobo;Liu Wei;Xin Feifei(School of Economics&Management,Tongji University,Shanghai 200092;School of Transportation Engineering,Tongji University,Shanghai 201804)

机构地区：[1]同济大学经济与管理学院,上海200092 [2]同济大学交通运输工程学院,上海201804

出　　处：《管理评论》2021年第8期3-16,共14页Management Review

基　　金：国家社会科学基金项目(14BJY201)。

摘　　要：从银行风险转移的视角,银行股东、存款人与非存款债权人均会受到存款保险制度的影响而产生道德风险行为。但之前并未获充分的研究。本文选取2008—2015年欧元区17个国家的289家银行作为研究对象,通过将银行股东、存款人与非存款债权人纳入到一个研究框架下,从风险转移的视角、结合存款保险制度在危机时期的变化,利用动态面板回归与GMM估计方法,考察了存款保险制度下各市场主体的风险承担关系及其对银行绩效的影响。研究发现:(1)存款保险制度下欧元区银行存在着明显的风险转移行为,非存款债权人是主要的风险承担主体;(2)危机时期的政府担保行为能够强化市场主体对于政府隐性担保的预期,来自股东的风险约束弱化,银行债权人表现出主动的风险承担;(3)存款保险制度保障程度的提高对银行绩效不存在显著影响,存款保险制度下银行并不能通过其风险转移行为提高银行绩效水平;(4)对于危机时期实施了政府担保的国家,非存款债务占比与银行股东回报率表现出显著的正相关关系,政府在危机时期的担保行为可能通过降低其资本回报要求,提高银行股东的回报率,反映出了非存款债权人对于银行价格约束的弱化。本文的研究结论丰富了存款保险制度道德风险的研究内涵,有助于揭示存款保险制度下各市场主体的风险承担行为逻辑及其对银行绩效的影响,从而为构建完备的存款保险制度监管体系、制定更具针对性的风险管理策略提供依据。In terms of commercial bank risk transfer,the bank shareholders,depositors and creditors would lead to moral hazard behaviors due to deposit insurance system. But existing literature has not fully given attention to this subject. This paper selects 289 banks in17 countries of Euro-zone from 2000 to 2015 for the research. The research framework consists of bank shareholders,depositors and creditors,combines the change of deposit insurance system in times of crisis,and uses the dynamic panel regression method( GMM) to test the relationship between risk-taking and the bank performance under deposit insurance system. The results show,that:( 1) the Euro-zone banks have the behavior of transferring risk to creditors. During the time of crisis,the behavior of government guarantee could strengthen the market expectation of implicit guarantee.( 2) Also due to the weakening of risk constraint over shareholders,creditors are willing to put up with risks.( 3) The improvement of deposit insurance system has no significant influence on bank performance.( 4) In terms of countries implementing government guarantee in the crisis,there is significant positive correlation between the ratio of non-deposit debt and the shareholder returns. The behavior of government could improve the return of bank shareholders on investment through reducing its return on capital,which also reflects the weakening price constraint over banks by non-deposit creditors. Based on the research findings,we expand the research area of deposit insurance system on commercial banks’ moral hazard. It could help to identify risk-taking behavioral logicality of the market participants under deposit insurance system. And it also has important practical significance for establishing improved deposit insurance system and developing more targeted risk-control strategies in China.

关 键 词：存款保险制度 风险承担 银行绩效 道德风险 风险转移 

分 类 号：F831.0[经济管理—金融学] F835