存款保险制度、银行异质性与银行个体风险

Deposit Insurance,Heterogeneous Banks and Bank Idiosyncratic Risk

本文立足于如何防范非危机时期存款保险制度的道德风险问题,选取了2010—2015年中国和美国银行业的微观数据,运用系统GMM,对比中美两国的存款保险制度对银行个体风险作用的差异以及银行杠杆率和治理结构对二者关系的影响;进一步,运用倍差法(DID)深入分析我国存款保险制度对银行个体风险的影响及其作用机制。实证结果表明:存款保险制度显著增加了我国其他商业银行(中、农、工、建四大国有银行以外的商业银行)的个体风险,而其对美国的银行个体风险的影响却不显著;对中美两国银行而言,银行杠杆率越高,第一大股东的持股比例越高,存款保险制度的道德风险问题越严重;比较分散的股权结构和较低的银行杠杆率降低了美国存款保险制度对银行个体风险的负面影响;引入存款保险制度后,我国四大国有银行的个体风险、杠杆率和影子银行业务均没有显著变化;但是其他商业银行却会提高杠杆率和更积极地从事影子银行业务,从而增加了个体风险。

Summary ： As of October 2015, China does not limit the deposit interest rate of banks. To prevent increasing bank risk in interest rate liberalization, an explicit deposit insurance system was introduced to cover all depository financial institutions in China on May 1, 2015. Although this deposit insurance helps to protect the interests of depositors and reduce bank runs caused by risk contagion, it also tends to induce moral hazard problems and leads to increased bank idiosyncratic risk. Deposit insurance was first implemented in the United States. Some core elements of China＇s deposit insurance scheme are based on America＇s success, such as risk-adjusted premiums and risk-minimizing system mandates. From the perspective of preventing the moral hazard of explicit deposit insurance in the non-crisis period, this paper compares the impact of deposit insurance on bank idiosyncratic risk in China and the United States and discusses the effect of bank leverage and bank governance structure on their relationship using panel data for the Chinese and American banking industries during 2010--2015 and the method of systemic GMM. Further, we use a difference-in-differences （DID） model to explore the effect of deposit insurance on bank idiosyncratic risk and its mechanism in China. The main findings are as follows. First, explicit deposit insurance significantly increases the individual risk of non- state-owned banks in China, while it has little effect on bank risk in America. Second, the higher bank leverage is and the higher the share of the largest shareholder is, the more serious the moral hazard problem of deposit insurance will be, both in China and in America. More dispersed ownership structure and lower bank leverage offset some of the negative impact of America＇s deposit insurance on bank individual risk. Third, following the introduction of China＇s deposit insurance, the individual risk, bank leverage and shadow banking of the four biggest banks are not significantly affected, while non-state- owned banks will raise bank leverage and engage in shadow banking more actively, resulting in higher bank risk. Our study explores the relation between deposit insurance and bank idiosyncratic risk and the possible underlying channels, which is helpful for preventing the moral hazard of deposit insurance. First, deposit insurance will lead to the more aggressive development of shadow banking in non-state-owned banks, so financial supervisory authorities should pay close attention to other banks＇ shadow banking. Moreover, the same deposit insurance has different effects on bank idiosyncratic risk depending on bank leverage. The higher the bank leverage is, the more serious the moral hazard of the deposit insurance is. Regulatory authorities should encourage banks to reduce bank leverage, which will lead to more effective deposit insurance. Finally, a higher share of the largest shareholder will result in a more serious moral hazard problem regarding deposit insurance. Attention should be given to strengthening mixed-ownership reform in the banking industry and improving banks＇ ownership structure to lower the moral hazard of deposit insurance. This study contributes to the literature in several ways. First, this paper directly investigates the impact of deposit insurance on bank idiosyncratic risk in China, making use of the 2015 implementation of China＇s deposit insurance system. Second, some core elements of China＇s deposit insurance scheme are based on America＇s success, such as risk-adjusted premiums and risk-minimizing system mandates. This paper compares the impacts of deposit insurance on bank idiosyncratic risk in the two countries. Further, based on the novel perspective of bank governance and bank leverage, we examine the institutional factors leading to differentiated relationships between deposit insurance and bank idiosyncratic risk in the two countries. Third, because deposit insurance has different effects on the four biggest banks and other banks, we use a difference-in-differences （DID） model to study the effect of deposit insurance on other banks＇ idiosyncratic risk and explore the possible underlying channels.