存款保险制度能有效降低商业银行风险吗?——基于CAPM模型的实证研究
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摘要
伴随利率市场化进程,银行间竞争日趋激烈,存款保险制度的推出有利于稳定预期和防范道德风险。文章从商业银行股价波动入手,通过CAPM模型对商业银行日收益率和市场组合的收益率进行回归分析,验证了商业银行风险受到整体市场的影响。研究发现,在中国商业银行市场风险中,股价波动很大程度上受市场的影响,存款保险制度对商业银行的风险防范有着积极作用。为有效防范商业银行市场风险,应构建更严格的监管体系,采取差额费率法,推行强制存款保险制度。
With the progress of interest rate liberalization,interbank competition is becoming increasingly fierce,and the introduction of deposit insurance system is conducive to stabilizing expectations and preventing moral hazard. Starting from the stock price fluctuations of commercial banks,this paper makes a regressive analysis on the daily rate of return of commercial banks and the rate of return of market portfolio through CAPM model,and it proves that the risk of commercial banks is influenced by the whole market. Research also finds out that in the market risk of China's commercial banks,the stock price fluctuation is largely affected by the market,and the deposit insurance system has a positive effect on the risk prevention. To effectively prevent the market risk of commercial banks,we should build a more stringent regulatory system,take the differential rate method,and implement the compulsory deposit insurance system.
With the progress of interest rate liberalization,interbank competition is becoming increasingly fierce,and the introduction of deposit insurance system is conducive to stabilizing expectations and preventing moral hazard. Starting from the stock price fluctuations of commercial banks,this paper makes a regressive analysis on the daily rate of return of commercial banks and the rate of return of market portfolio through CAPM model,and it proves that the risk of commercial banks is influenced by the whole market. Research also finds out that in the market risk of China's commercial banks,the stock price fluctuation is largely affected by the market,and the deposit insurance system has a positive effect on the risk prevention. To effectively prevent the market risk of commercial banks,we should build a more stringent regulatory system,take the differential rate method,and implement the compulsory deposit insurance system.
引文
[1]Alan D Morrison,Lucy White.Deposit Insurance and Subsidized Recapitalizations[J].Journal of Banking and Finance,2011,35(12):60-79.
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[6]Oz Shy,Rune Stenbacka,Vladimir Yankov.Limited Deposit Insurance Coverage and Bank Competition[J].Journal of Banking and Finance,2016,71(4):95-108.
[7]Li Gan,Grace W Y Wang.Partial Deposit Insurance and Moral Hazard in Banking[J].International Journal of Commerce and Management,2013,23(1):8-23.
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[9]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,2015,28(5):116-128.
[10]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.
[11]王道平,杨骏.利率市场化、存款保险制度与银行风险[J].南开学报:哲学社会科学版,2014,(6):117-128.
[12]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.
[13]宋丽智.存款保险制度对中小商业银行的影响和对策研究[J].宏观经济研究,2015,(11):84-92,130.
[14]万伟.从金融安全视角谈构建我国银行存款保险制度[J].中国行政管理,2015,(3):142-145.
[15]崔华泰.商业银行收入多元化对经营绩效和风险的影响——基于16家上市银行2005-2015年数据的实证研究[J].经济与管理评论,2017,(3):140-148.
[2]Pilar Gómez-Fernández-Aguado,Antonio Partal-Ure珘na.Moving toward Risk-based Deposit Insurance Premiums in the European Union:The Case of Spain[J].Applied Economics,2014,46(13):1547-1564.
[3]Iljoong Kim,Inbae Kim,Yoonseon Han.Deposit Insurance,Banks'Moral Hazard,and Regulation:Evidence from the ASEAN Countries and Korea[J].Emerging Markets Finance and Trade,2014,50(6):56-71.
[4]Charles W Calomiris,Matthew Jaremski.Deposit Insurance:Theories and Facts[J].Annual Review of Financial Economics,2016,8(3):97-120.
[5]Harold Ngalawa.Banking Instability and Deposit Insurance:The Role of Moral Hazard[J].Journal of Applied Economics,2016,19(2):38-72.
[6]Oz Shy,Rune Stenbacka,Vladimir Yankov.Limited Deposit Insurance Coverage and Bank Competition[J].Journal of Banking and Finance,2016,71(4):95-108.
[7]Li Gan,Grace W Y Wang.Partial Deposit Insurance and Moral Hazard in Banking[J].International Journal of Commerce and Management,2013,23(1):8-23.
[8]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.
[9]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,2015,28(5):116-128.
[10]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.
[11]王道平,杨骏.利率市场化、存款保险制度与银行风险[J].南开学报:哲学社会科学版,2014,(6):117-128.
[12]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.
[13]宋丽智.存款保险制度对中小商业银行的影响和对策研究[J].宏观经济研究,2015,(11):84-92,130.
[14]万伟.从金融安全视角谈构建我国银行存款保险制度[J].中国行政管理,2015,(3):142-145.
[15]崔华泰.商业银行收入多元化对经营绩效和风险的影响——基于16家上市银行2005-2015年数据的实证研究[J].经济与管理评论,2017,(3):140-148.