中国上市商业银行隐性存款保险制度下的道德风险研究

发布时间：2018-04-08 13:33

本文选题：股利分配　切入点：违约风险　出处：《南京财经大学》2015年硕士论文

【摘要】：由于中国还没有建立完善的存款保险制度,银行一旦发生挤兑以及信用危机,政府会动用中央银行以及地方财政的资金直接进行救助,并对存款者和债务者进行全额担保,这一机制也被形象的称为“隐性存款保险”。这一制度的存在使得银行大胆的进行高息揽存或者高风险的投资活动,从而将风险转移给政府机构和中央银行,即银行业存在大量道德风险。近年来中国的隐性存款保险制度极大地影响了金融体系的稳定,使得宏观经济的效率的低下,并导致资源得不到有效配置、经济无法健康发展。2007年银行和金融危机发生后,商业银行的股利支付现象引起了大量学者的关注。银行即使在金融危机期间、存在巨大潜在风险的情况也不愿意削减自己的股息,银行股东通过股利分配将大量可分配利润转移至自身名下,而将银行违约风险转移给存款保险机构,即银行存在明显的风险转移的机制,这也是一种道德风险的表现形式。如果银行股东通过股利支付进行风险转移将会给存款人带来经济损失,给政府财政带来巨大的压力。中国商业银行是否也存在这一风险转移现象是本文写作的主要目的。本文意图解决三个主要问题：隐性存款保险制度下中国上市银行为何会产生道德风险；通过股利分配渠道产生风险转移的理论原因；建立模型对风险转移的现象进行验证并分析产生风险转移的原因。对中国为何产生道德风险,本文通过对存款人和银行的预期收益函数进行解释。通过对预期函数的分析发现,中国隐性存款保险制度导致了存款人市场约束的弱化从而导致了银行揽存和冒险行为的发生。通过对Merton模型的研究得知银行可以通过股利支付可以导致保险费率的增加,从而银行将风险转移给“存款保险机构”。实证部分采用中国上市银行的股利支付率以及违约风险作为被解释变量和解释变量进行面板模型的分析。将国有银行和股份制银行分别分析后发现国有银行存在非常明显的违约风险转移的现象,但是股份制上市银行则不存在。最后本文认为国有商业银行之所以存在明显的风险转移机制是由于国有商业银行由中央银行和政府直接注资,在隐性存款保险制度下一旦银行发生信贷危机或投资失误引发自身违约风险时由国家资产直接进行担保,所以易产生道德风险。
[Abstract]:Since China has not yet established a sound deposit insurance system, in the event of a run on banks and a credit crisis, the government will use the funds of the central bank and local finance to directly rescue them and guarantee the full amount of the depositors and debtors.This mechanism is also called recessive deposit insurance.The existence of this system enables banks to carry out high interest deposit or high risk investment activities, thus transferring the risk to government agencies and central banks, that is, there are a large number of moral risks in the banking industry.In recent years, the recessive deposit insurance system in China has greatly affected the stability of the financial system, made the macroeconomic efficiency low, and led to the lack of effective allocation of resources and the healthy development of the economy.The phenomenon of dividend payment in commercial banks has attracted the attention of a large number of scholars.Even during the financial crisis, banks were reluctant to cut their dividends even when there was a huge potential risk, with shareholders transferring large amounts of distributable profits to their own names through dividend allocations.It is also a form of moral hazard to transfer the default risk of the bank to the deposit insurance institution, that is, the obvious risk transfer mechanism of the bank.If bank shareholders carry out risk transfer through dividend payment, it will bring economic losses to depositors and great pressure on government finances.The main purpose of this paper is whether Chinese commercial banks also have this phenomenon of risk transfer.This paper intends to solve three main problems: why the listed banks in China produce moral hazard under the hidden deposit insurance system, the theoretical reasons of risk transfer through dividend distribution channels;Establish a model to verify the phenomenon of risk transfer and analyze the causes of risk transfer.To explain why moral hazard occurs in China, this paper explains the expected income function of depositors and banks.Through the analysis of the expected function, it is found that China's implicit deposit insurance system leads to the weakening of depositors' market constraints, which leads to the occurrence of deposit-taking and risk-taking by banks.Through the study of Merton model, it is found that the bank can increase the insurance rate through dividend payment, so the bank transfers the risk to the "deposit insurance institution".The empirical part uses the dividend payment rate and default risk of Chinese listed banks as explained variables and explanatory variables to analyze the panel model.Through the analysis of state-owned banks and joint-stock banks, it is found that there is a very obvious phenomenon of default risk transfer in state-owned banks, but there is no such phenomenon in joint-stock listed banks.Finally, this paper thinks that the obvious risk transfer mechanism of the state-owned commercial banks is that the state-owned commercial banks are directly funded by the central bank and the government.Under the implicit deposit insurance system, once the bank has a credit crisis or an investment error, the risk of default is directly guaranteed by the national assets, so it is easy to produce moral hazard.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.1

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