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

Can Deposit Insurance System Reduce the Risk of Commercial Bank Effectively? An Empirical Study Based on CAPM Model

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.