中国政府对上市银行的隐性救助概率和救助成本

发布时间：2018-11-06 17:37

【摘要】：本文结合我国银行业特有的隐性保险和监管救助特点,在标准的期权定价方法和分析范式内,分别给出了零监管宽容和监管宽容下政府对银行的各种隐性救助概率和救助成本的测度公式,并基于我国上市银行可观测的股权价值序列等信息,估计了政府对它们的隐性救助概率和救助成本。研究表明:(1)在零监管宽容下,监管当局对上市银行以债务加权的隐性救助概率为1.59%,隐性救助成本占上市银行同期债务总值的0.04%;(2)监管当局对上市银行的隐性救助成本与其救助方式密切相关,且监管宽容极大地提高了其隐性救助成本,譬如当监管宽容系数ρ从1分别降至0.95和0.9时,其隐性救助成本占上市银行同期债务总值的比例将分别提高至0.07%和0.15%。同样地,本文结论适用于将来显性存款保险体制下,存款保险机构根据特定银行的历史风险特征或风险承担倾向,所应进行的风险调整的保险费率设计与定价要求。
[Abstract]:Based on the characteristics of implicit insurance and regulatory rescue in China's banking industry, this paper is based on the standard option pricing method and analytical paradigm. This paper gives the formulas of the government's implicit rescue probability and rescue cost under the zero supervision tolerance and the supervision tolerance respectively, and based on the information such as the observable stock value sequence of the listed banks in our country. The implicit rescue probability and cost of the government to them are estimated. The results show that: (1) under the tolerance of zero supervision, the implicit rescue probability of the listed banks weighted by debt by the regulatory authorities is 1.59, and the implicit rescue cost accounts for 0.04% of the total debt value of the listed banks in the same period; (2) the implicit rescue cost of the listed bank is closely related to its rescue mode, and the regulatory tolerance greatly increases its implicit rescue cost. For example, when the coefficient 蟻 of regulatory tolerance is reduced from 1 to 0.95 and 0.9 respectively, Its implicit rescue costs will rise to 0.07% and 0.15% of the total debt value of listed banks in the same period, respectively. Similarly, the conclusion of this paper is applicable to the future explicit deposit insurance system, deposit insurance institutions according to the historical risk characteristics of a particular bank or risk-bearing tendency, should carry out risk adjustment insurance rate design and pricing requirements.
【作者单位】：复旦大学经济学院;天津财经大学经济学院;
【基金】：国家自然科学基金(70903012) 教育部人文社会科学研究基金(09YJC790045) 复旦大学金苗项目(09JM030)的资助
【分类号】：F832.3;F832.51;F224

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