存款保险对我国商业银行破产风险影响的实证研究

An Empirical Research of the Influence of Deposit Insurance on the Bankruptcy Risk of Commercial Banks in China

摘要: 存款保险设计的动机在于降低道德风险以规避商业银行破产风险，然而存款保险会增加银行经营成本而引致商业银行收益函数改变，形成商业银行、监管机构、存款人之间的博弈状态。本文通过期权分析、成本收益分析和博弈分析观察到存款保险引致银行破产风险概率增大的问题，实证部分筛选我国16家银行，基于2014~2021年9月的季度微观数据，构建回归模型，加入银行异质性考量，探究存款保险对不同性质的银行会产生的不同影响。研究结果表明，银行破产风险在存款保险作用下会变得稳定，破产概率不断降低，与此同时该制度会增加银行的流动性风险，并由此引发道德风险。此外，银行破产风险与存款保险之间存在非线性关系，银行盈利能力、资本充足率与股权集中度等因素均会对银行破产等产生影响。

Abstract: The motivation of deposit insurance design is to reduce moral hazard in order to avoid the bankruptcy risk of commercial banks. However, deposit insurance will increase the operating cost of banks, which will lead to the change of the profit function of commercial banks, therefore forming a state of game theory among commercial banks, regulators and depositors. Through option analysis, cost-benefit analysis and game analysis, this paper observes the problem that deposit insurance increases the likelihood of bank bankruptcy. Therefore in the empirical part, this paper selects 16 banks in China to construct a regression model based on the quarterly micro data from September 2014 to September 2021. Adding bank heterogeneity considerations, the paper aims to explore the different impacts of deposit insurance on banks of different natures. The results show that the bankruptcy risk will become stable under the application of deposit insurance, and the probability of bankruptcy will continue to decrease, at the same time, the system will increase the liquidity risk of banks, thus causing moral hazard. In addition, there is a non-linear relationship between bankruptcy risk and deposit insurance, and other factors such as bank profitability, capital adequacy ratio and equity concentration could have an impact on bank bankruptcy.