存款保险制度对商业银行道德风险影响的实证研究

The Empirical Research into the Effect of Deposit Insurance System on Commercial Banks' Moral Hazard

利用中国内地与香港在应对外部冲击时所表现出的较强的同步性,在一个自然实验的框架下,选取2002年至2013年中国内地和香港主要商业银行的数据作为样本,将2006年香港存款保险制度的实施作为外生变量,根据委托-代理理论,运用双重差分模型分别从信贷行为、资产结构和自有资本3个方面实证检验建立存款保险制度对商业银行道德风险的影响。研究结果表明,存款保险制度并不会引发商业银行的过度信贷,甚至能够在一定程度上抑制商业银行的过度信贷行为,且这种抑制作用对小银行更加明显;没有显著的证据表明存款保险制度会激励商业银行持有高风险资产组合;存款保险制度会促使商业银行减持资本缓冲。在当前的银行监管体制下,存款保险制度对商业银行道德风险的影响已由过去的资产业务转向负债业务,并进一步提出采取风险最小化型的职能定位以及加快向风险为本适度灵活的监管体系转变等政策建议,研究结果对于中国明确存款保险制度对商业银行道德风险影响的具体形式、制定更具针对性的风险控制策略具有十分重要的现实意义。

How the deposit insurance system impacts commercial banks＇ moral hazard is an important research topic. Especially in 2015, China＇s launching deposit insurance system further enhances the importance and urgency in relation to this study. Scholars worldwide have also done quite a few theoretical and empirical studies on the effect of deposit insurance system on banks＇ moral hazard, and yet its applicability to China is limited because of the particularity of the banking system in our country. Thus, there exists a necessity to explore how to configure deposit insurance system to control banks＇ moral hazard. To compensate this deficiency, in the framework of a natural experiment, this paper, first takes financial data of main commercial banks in China's Mainland and Hong Kong from 2002 to 2013 as research objects. Then it examines how the introduction of deposit insurance affects banks＇ moral hazard by using the deposit-insurance scheme introduced into the Hong Kong banking system in 2006 as an exogenous change. This study employs a difference-in-differences（DID） estimation method, from the three perspectives of credit behavior, asset structure and equity capital respectively to test the effects by taking advantage of the synchronicity that China's Mainland and Hong Kong have shown in dealing with external shocks. The results indicate that： （]）the deposit insurance system wouldn＇t lead to excessive credit of commercial banks; it even could inhibit their excessive credit behaviors, and the inhibition is more obvious for small banks; （1）there is no obvious evidence that deposit insurance system would motivate banks to hold high-risk asset portfolio ; （2）Finally, we find strong evidence of moral hazard following implementation of deposit insurance in the form of decreased capital buffers. Simultaneously, it is concluded that, under the current banking supervision system, the influence of deposit insurance system on commercial banks＇ moral hazard has shifted from asset business to liability business. Based on the research findings and the Principal-agent Theory and considering the main differences of regulatory environment in China's Mainland and Hong Kong, we propose that the deposit insurance＇s function orientation should be a risk-minimizer; and the regulatory system should translate to risk-based regulatory system and maintain an appropriate degree of flexibility. This paper enriches and expands the related empirical research on deposit insurance and banks＇ moral hazard for China. And it ＇also has important practical significance for clearing the specific form how deposit insurance system influences commercial banks＇ moral hazard, and develops more targeted risk-control strategies.