信息披露、存款保险制度与银行系统性风险Information Disclosure,Deposit Insurance System and Systemic Risks of Banks
朱波;杨文华;卢露;
摘要(Abstract)：
文章基于不完全信息动态博弈模型,对信息披露、存款保险制度与系统性风险之间的作用机制进行了理论分析,并使用2006-2014年24个国家137家上市商业银行的面板数据进行了实证考察。研究发现,提高银行的信息披露程度,有助于降低融资成本和存款保险缴费费率,引导其减小银行间资产的相关性,从而降低系统性风险;存款保险的金融稳定效应不明显,提高信息披露程度有效缓解了存款保险制度的道德风险,两者在降低银行系统性风险方面存在协同效应。设计合理的存款保险制度、经验丰富的监管当局和严格的监管体系有助于发挥市场约束作用,限制存款保险的道德风险,从而维护金融体系的稳定。因此,在我国正式实施存款保险制度的背景下,监管部门应加强银行信息披露和优化存款保险设计,以更好地防范我国金融体系的系统性风险。
关键词(KeyWords)： 系统性风险;信息披露程度;存款保险制度;不完全信息动态博弈模型
基金项目(Foundation): 国家自然科学基金面上项目(71673225);; 西南财经大学中央高校基本科研业务费专项资金(JBK160918;JBK1607055)
作者(Author): 朱波;杨文华;卢露;
Email:
DOI: 10.16538/j.cnki.jfe.2016.12.009
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- (1)由于在t=0期监管者提供全额存款保险,故在t=0期存款人总是愿意将资本存放银行。
- (1)本文着重考察对全球金融系统的稳定性有着重大影响的银行。《多德-弗兰克法案》将总资产超过500亿美元的银行视为系统重要性银行,据此我们从OECD国家中选择了24个国家的137家银行作为样本。
- (2)Barth等(2013)的银行监管状况调查数据存在一定缺失,本文基于近期年份的数据对缺失数据进行了处理。
- (1)监管环境的代理变量为监管者权利指数,银行系统的危机历史信息代理变量为该国历史上是否发生过银行危机,具体的指标构建及数据详见Barth(2013)的调查报告。