存款保险制度能够降低银行风险吗?——基于116个国家面板数据的研究
|
摘要
由于商业银行经营存在高风险性特点,存款保险制度得到越来越多国家和地区的认可。存款保险制度在防止银行挤兑、保护存款人利益的同时,也可能会增强银行的冒险动机,引发道德风险。本文以1998—2015年为样本区间,用双重差分法对116个国家存款保险制度和银行风险之间的关系进行实证研究。研究结论表明,存款保险制度显著降低了银行的信用风险和破产风险,并且在新兴市场国家中该作用更为明显;一国对银行体系的监管越严格,该国的存款保险制度对银行风险的抑制作用越强;存款保险制度规定的最高偿付限额与银行风险之间存在U型关系,我国规定的50万元人民币相对于人均GDP来说偏高。
Due to the high-risk nature of commercial bank operating, more and more countries and regions established deposit insurance system. However, while deposit insurance system prevents bank failure and enhances public confidence in the banking system, it may also incentivize commercial banks to engage in high-risk business, which may trigger moral hazard problem. This article takes the period from 1998 to 2015, using difference-in-differences method to empirically study the relationship between deposit insurance system and bank risk in 116 countries. We find that: Firstly, deposit insurance system significantly reduces the bank's credit risk and bankruptcy risk, which is even more evident in emerging market countries.Secondly, the stricter the supervision of a country's banking system, the more pronounced the country's deposit insurance system's suppression of bank risks. Thirdly, there is a U-Shaped relationship between the maximum coverage limit stipulated in the deposit insurance system and the bank risk. The maximum coverage limit of RMB 500,000 set by China is relatively high relative to the per capita GDP of China.
Due to the high-risk nature of commercial bank operating, more and more countries and regions established deposit insurance system. However, while deposit insurance system prevents bank failure and enhances public confidence in the banking system, it may also incentivize commercial banks to engage in high-risk business, which may trigger moral hazard problem. This article takes the period from 1998 to 2015, using difference-in-differences method to empirically study the relationship between deposit insurance system and bank risk in 116 countries. We find that: Firstly, deposit insurance system significantly reduces the bank's credit risk and bankruptcy risk, which is even more evident in emerging market countries.Secondly, the stricter the supervision of a country's banking system, the more pronounced the country's deposit insurance system's suppression of bank risks. Thirdly, there is a U-Shaped relationship between the maximum coverage limit stipulated in the deposit insurance system and the bank risk. The maximum coverage limit of RMB 500,000 set by China is relatively high relative to the per capita GDP of China.
引文
[1]范小云,曹元涛.银行导向的存款保险体系:一个适用于欠发达国家的存款保险制度[J].经济学(季刊),2006(1):171-187
[2]郭晔,赵静.存款保险制度、银行异质性与银行风险[J].经济研究,2017(12):134-148
[3]纪洋,边文龙、黄益平.隐性存保、显性存保与金融危机:国际经验与中国实践[J].经济研究,2018(8):20-35
[4]刘瑞明,赵仁杰.国家高新区推动了地区经济发展吗?——基于双重差分方法的验证[J].管理世界,2015(8):30-38
[5]刘瑞明,赵仁杰.匿名审稿制度推动了中国的经济学进步吗?——基于双重差分方法的研究[J].经济学(季刊),2016(1):173-204
[6]陆桂娟.存款保险的经济学分析[J].金融研究,2006(5):113-120
[7]钱小安.存款保险的道德风险、约束条件与制度设计[J].金融研究,2004(8):21-27
[8]苏宁.借鉴国际经验,加快建立适合中国国情的存款保险制度[J].金融研究,2005(12):1-5
[9]汤洪波.存款保险制度与银行公司治理[J].金融研究,2008(7):154-159
[10]田国强、赵禹朴、宫汝凯.利率市场化、存款保险制度与银行挤兑[J].经济研究,2016(3):96-109
[11]王道平.利率市场化、存款保险制度与系统性银行危机防范[J].金融研究,2016(1):50-65
[12]王晓博,刘伟,辛飞飞.存款保险制度对商业银行道德风险影响的实证研究[J].管理科学,2015(5):116-128
[13]王自力. FDIC经验与我国存款保险制度建设[J].金融研究,2006(3):124-130
[14]谢平,王素珍,闫伟.存款保险的理论研究与国际比较[J].金融研究,2001(5):1-12
[15]姚东旻,颜建晔,尹烨昇.存款保险制度还是央行直接救市——一个动态博弈的视角[J].经济研究,2013(10):43-54
[16]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
[17]尹雷,卞志村.利率市场化、存款保险制度与银行危机——基于跨国数据的实证研究[J].国际金融研究,2016(1):49-59
[18] Anginer D,Demirguc-Kunt A,Zhu M. How Does Deposit Insurance Affect Bank Risk?Evidence from the Recent Crisis[J]. Journal of Banking&Finance,2014(48):312-321
[19] Angkinand A,Wihlborg C. Deposit Insurance Coverage,Ownership,and Banks'Risk-Taking in Emerging Markets[J]. Journal of International Money and Finance,2010(2):252-274
[20] Barth J R,Caprio J G,Levine R. Bank Regulation and Supervision:What Works Best?[J]. Journal of Financial Intermediation,2004(2):205-248
[21] Beck T,Demirguc-Kunt A,Levine R. Financial Institutions and Markets across Countries and over Time:the Updated Financial Development and Structure Database[J]. World Bank Economic Review,2004(1):77-92
[22] Calomiris C W,Jaremski M. Stealing Deposits:Deposit Insurance,Risk-Taking,and the Removal of Market Discipline in Early 20th Century Banks[J]. Journal of Finance,2019,74(2):711-754
[23] Chernykh L,Cole R A. Does Deposit Insurance Improve Financial Intermediation?Evidence from the Russian Experiment[J]. Journal of Banking&Finance,2011(2):388-402
[24] Cull R,Senbet L W,Sorge M. Deposit Insurance and Financial Development[J]. Journal of Money,Credit and Banking,2005(2):43-82
[25] Demirguc-Kunt A,Detragiache E. Does Deposit Insurance Increase Banking System Stability?An Empirical Investigation[J]. Journal of Monetary Economics,2002(7):1373-1406
[26] Demirguc-Kunt A,Huizinga H. Market Discipline and Deposit Insurance[J]. Journal of Monetary Economics,2004(2):375-399
[27] Demirguc-Kunt A,Kane E. Deposit Insurance around the Globe:Where Does It Work?[J]. Journal of Economic Perspectives,2002(2):175-195
[28] Demirguc-Kunt A,Kane E,Laeven L. Deposit Insurance around the World:Issues of Design and Implementation[M]. 2008,The MIT Press
[29] Diamond D W,Dybvig P H. Bank Runs,Deposit Insurance,and Liquidity[J]. Journal of Political Economy,1983(91):401-419
[30] Dowd K. Deposit Insurance:A Skeptical View[J]. Federal Reserve Bank of St. Louis Review,1993(1):14-17
[31] Gropp R,Vesala J. Deposit Insurance,Moral Hazard and Market Monitoring[R]. European Central Bank Working Paper,2004,No. 302
[32] Hovakimian A,Kane E J,Laeven L. How Country and Safety-Net Characteristics Affect Bank Risk-Shifting[J].Journal of Financial Services Research,2003(3):177-204
[33] Laeven L. Bank Risk and Deposit Insurance[J]. World Bank Economic Review,2002(1):109-137
[34] Laeven L,Levine R. Bank Governance,Regulation and Risk Taking[J]. Journal of Financial Economics,2009(2):259-275
[35] Laeven L,Ratnovskid L,Tong H. Bank Size,Capital,and Systemic Rrisk:Some International Evidence[J]. Journal of Banking&Finance,2016(69):25-34
[36] Liu L,Zhang G,Fang Y. Bank Credit Default Swaps and Deposit Insurance around the World[J]. Journal of International Money and Finance,2016(69):339-363
[37] Merton R C. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem[J]. Journal of Financial Economics,1977(2):241-250
[38] Morrison A D,White L. Deposit Insurance and Subsidized Recapitalizations[J]. Journal of Banking&Finance,2011(12):3400-3416
[39] Moser P,Voena A. Compulsory Licensing:Evidence from the Trading with the Enemy Act,American Economic Review,2012,102(1):396-427
[40] Peria M S M,Schmukler S L. Do Depositors Punish Banks for Bad Behavior?Market Discipline,Deposit Insurance,and Banking Crises[J]. Journal of Finance,2001(3):1029-1051
[41] Roy A D. Safety First and the Holding of Assets[J]. Econometrica,1952,20(3):431-449
[42] Shy O,Stenbacka R,Yankov V. Limited Deposit Insurance Coverage and Bank Competition[J]. Journal of Banking&Finance,2016(71):95-108
(1)篇幅所限,监管指标的具体构建过程未予以列示,感兴趣的读者可向作者索取。
(1)篇幅所限,本图略去了其他控制变量的影响,根据表2的回归结果fitted NPL=-1.431×Coverage+0.158×Coverage2画出拟合值图,横轴为Coverage,纵轴为拟合的NPL。
(1)本文参照世界货币基金组织IMF于2015年发布的新兴市场国家分类,包括23个国家:阿根廷、孟加拉共和国、巴西、保加利亚、智利、中国、哥伦比亚、匈牙利、印度、印度尼西亚、马来西亚、墨西哥、巴基斯坦、秘鲁、菲律宾、波兰、罗马尼亚、俄罗斯、乌克兰、南非、泰国、土耳其、委内瑞拉。由于本文样本中不包括委内瑞拉,因此,选取前22个国家作为新兴市场国家。具体参照:http://www.imf.org/external/pubs/ft/weo/2015/02/pdf/text.pdf。
(1)篇幅所限,表4和表5未列示控制变量回归结果,感兴趣的读者可联系作者索取。
[2]郭晔,赵静.存款保险制度、银行异质性与银行风险[J].经济研究,2017(12):134-148
[3]纪洋,边文龙、黄益平.隐性存保、显性存保与金融危机:国际经验与中国实践[J].经济研究,2018(8):20-35
[4]刘瑞明,赵仁杰.国家高新区推动了地区经济发展吗?——基于双重差分方法的验证[J].管理世界,2015(8):30-38
[5]刘瑞明,赵仁杰.匿名审稿制度推动了中国的经济学进步吗?——基于双重差分方法的研究[J].经济学(季刊),2016(1):173-204
[6]陆桂娟.存款保险的经济学分析[J].金融研究,2006(5):113-120
[7]钱小安.存款保险的道德风险、约束条件与制度设计[J].金融研究,2004(8):21-27
[8]苏宁.借鉴国际经验,加快建立适合中国国情的存款保险制度[J].金融研究,2005(12):1-5
[9]汤洪波.存款保险制度与银行公司治理[J].金融研究,2008(7):154-159
[10]田国强、赵禹朴、宫汝凯.利率市场化、存款保险制度与银行挤兑[J].经济研究,2016(3):96-109
[11]王道平.利率市场化、存款保险制度与系统性银行危机防范[J].金融研究,2016(1):50-65
[12]王晓博,刘伟,辛飞飞.存款保险制度对商业银行道德风险影响的实证研究[J].管理科学,2015(5):116-128
[13]王自力. FDIC经验与我国存款保险制度建设[J].金融研究,2006(3):124-130
[14]谢平,王素珍,闫伟.存款保险的理论研究与国际比较[J].金融研究,2001(5):1-12
[15]姚东旻,颜建晔,尹烨昇.存款保险制度还是央行直接救市——一个动态博弈的视角[J].经济研究,2013(10):43-54
[16]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
[17]尹雷,卞志村.利率市场化、存款保险制度与银行危机——基于跨国数据的实证研究[J].国际金融研究,2016(1):49-59
[18] Anginer D,Demirguc-Kunt A,Zhu M. How Does Deposit Insurance Affect Bank Risk?Evidence from the Recent Crisis[J]. Journal of Banking&Finance,2014(48):312-321
[19] Angkinand A,Wihlborg C. Deposit Insurance Coverage,Ownership,and Banks'Risk-Taking in Emerging Markets[J]. Journal of International Money and Finance,2010(2):252-274
[20] Barth J R,Caprio J G,Levine R. Bank Regulation and Supervision:What Works Best?[J]. Journal of Financial Intermediation,2004(2):205-248
[21] Beck T,Demirguc-Kunt A,Levine R. Financial Institutions and Markets across Countries and over Time:the Updated Financial Development and Structure Database[J]. World Bank Economic Review,2004(1):77-92
[22] Calomiris C W,Jaremski M. Stealing Deposits:Deposit Insurance,Risk-Taking,and the Removal of Market Discipline in Early 20th Century Banks[J]. Journal of Finance,2019,74(2):711-754
[23] Chernykh L,Cole R A. Does Deposit Insurance Improve Financial Intermediation?Evidence from the Russian Experiment[J]. Journal of Banking&Finance,2011(2):388-402
[24] Cull R,Senbet L W,Sorge M. Deposit Insurance and Financial Development[J]. Journal of Money,Credit and Banking,2005(2):43-82
[25] Demirguc-Kunt A,Detragiache E. Does Deposit Insurance Increase Banking System Stability?An Empirical Investigation[J]. Journal of Monetary Economics,2002(7):1373-1406
[26] Demirguc-Kunt A,Huizinga H. Market Discipline and Deposit Insurance[J]. Journal of Monetary Economics,2004(2):375-399
[27] Demirguc-Kunt A,Kane E. Deposit Insurance around the Globe:Where Does It Work?[J]. Journal of Economic Perspectives,2002(2):175-195
[28] Demirguc-Kunt A,Kane E,Laeven L. Deposit Insurance around the World:Issues of Design and Implementation[M]. 2008,The MIT Press
[29] Diamond D W,Dybvig P H. Bank Runs,Deposit Insurance,and Liquidity[J]. Journal of Political Economy,1983(91):401-419
[30] Dowd K. Deposit Insurance:A Skeptical View[J]. Federal Reserve Bank of St. Louis Review,1993(1):14-17
[31] Gropp R,Vesala J. Deposit Insurance,Moral Hazard and Market Monitoring[R]. European Central Bank Working Paper,2004,No. 302
[32] Hovakimian A,Kane E J,Laeven L. How Country and Safety-Net Characteristics Affect Bank Risk-Shifting[J].Journal of Financial Services Research,2003(3):177-204
[33] Laeven L. Bank Risk and Deposit Insurance[J]. World Bank Economic Review,2002(1):109-137
[34] Laeven L,Levine R. Bank Governance,Regulation and Risk Taking[J]. Journal of Financial Economics,2009(2):259-275
[35] Laeven L,Ratnovskid L,Tong H. Bank Size,Capital,and Systemic Rrisk:Some International Evidence[J]. Journal of Banking&Finance,2016(69):25-34
[36] Liu L,Zhang G,Fang Y. Bank Credit Default Swaps and Deposit Insurance around the World[J]. Journal of International Money and Finance,2016(69):339-363
[37] Merton R C. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem[J]. Journal of Financial Economics,1977(2):241-250
[38] Morrison A D,White L. Deposit Insurance and Subsidized Recapitalizations[J]. Journal of Banking&Finance,2011(12):3400-3416
[39] Moser P,Voena A. Compulsory Licensing:Evidence from the Trading with the Enemy Act,American Economic Review,2012,102(1):396-427
[40] Peria M S M,Schmukler S L. Do Depositors Punish Banks for Bad Behavior?Market Discipline,Deposit Insurance,and Banking Crises[J]. Journal of Finance,2001(3):1029-1051
[41] Roy A D. Safety First and the Holding of Assets[J]. Econometrica,1952,20(3):431-449
[42] Shy O,Stenbacka R,Yankov V. Limited Deposit Insurance Coverage and Bank Competition[J]. Journal of Banking&Finance,2016(71):95-108
(1)篇幅所限,监管指标的具体构建过程未予以列示,感兴趣的读者可向作者索取。
(1)篇幅所限,本图略去了其他控制变量的影响,根据表2的回归结果fitted NPL=-1.431×Coverage+0.158×Coverage2画出拟合值图,横轴为Coverage,纵轴为拟合的NPL。
(1)本文参照世界货币基金组织IMF于2015年发布的新兴市场国家分类,包括23个国家:阿根廷、孟加拉共和国、巴西、保加利亚、智利、中国、哥伦比亚、匈牙利、印度、印度尼西亚、马来西亚、墨西哥、巴基斯坦、秘鲁、菲律宾、波兰、罗马尼亚、俄罗斯、乌克兰、南非、泰国、土耳其、委内瑞拉。由于本文样本中不包括委内瑞拉,因此,选取前22个国家作为新兴市场国家。具体参照:http://www.imf.org/external/pubs/ft/weo/2015/02/pdf/text.pdf。
(1)篇幅所限,表4和表5未列示控制变量回归结果,感兴趣的读者可联系作者索取。