存款保险制度与银行业系统性风险溢出

Deposit Insurance and Systemic Risk Spillover in the Banking Industry

我国于2015年实施存款保险制度,旨在保护存款人利益、防范系统性金融风险.不同于早期建立存款保险的国家,我国银行经历的是从隐性担保转为存款保险的制度变革.本文使用2006-2018年国内上市商业银行微观数据,测算银行系统性风险溢出水平,并使用双重差分方法考察存款保险制度变革对于银行业系统性风险溢出的影响.结果显示,规模较大的银行对银行业系统性风险溢出效应更强;隐性担保转变为存款保险制度后,能够显著降低银行业系统性风险溢出;分组研究发现,存款保险的风险抑制作用在存贷比较高的银行中更为突出.结合当前防范化解金融风险的现实要求,本文对银行风险监管和存款保险制度提供改进建议.

China implemented deposit insurance in 2015 to protect depositors’interests and prevent systemie financial risks.Unlike the countries that established deposit insurance in earlier stages,China’s banks have experienced an institutional change from implicit guarantees to deposit insurance.This paper uses micro-data of domestic listed commercial banks from 2006 to 2018 to measure the level of systemic risk spillover of banks,and uses the Differences-in-Differences method to examine the impact of deposit insurance system reform on systemic risk spillover in the banking industry.The results show that the larger banks have greater spillover effects on the systemic risk of the banking industry,and that the implementation of deposit insurance can significantly reduce the systemic risk spillover of the banking industry.A group study found that the risk inhibition effect of deposit insurance is more prominent in banks with a high deposit-loan ratio.Combined with the curent practical requirements of preventing and reolving financial risks,this paper provides suggestions for improving bank risk supervision and deposit insurance.