存款保险制度对银行利率风险影响的实证研究

利用东盟六国与中国在经济、贸易和货币等方面较强的同步性和联动性特征, 选取2000年至2015年东盟六国主要商业银行的数据作为样本, 使用银行净息差3年移动标准差作为利率风险的代理变量, 实证检验建立存款保险制度对银行利率风险水平的影响, 以及这种影响是否因银行规模、银行业集中度和国家法制水平的差异而产生变化.研究表明, 存款保险制度的建立能够显著减少银行净息差的波动, 对利率风险具有稳定作用, 且这种稳定作用受到银行规模、银行业集中度和国家法制水平的影响.无论在短期或长期, 存款保险制度对银行利率风险的稳定作用都十分显著, 银行业集中度降低使得存款保险制度对银行利率风险的稳定作用增强.虽然提升国家法制水平在短期减弱存款保险制度对银行利率风险的稳定作用, 但在长期则相反.此外, 相比样本中高收入国家的商业银行, 存款保险制度对于中高收入和中低收入国家的银行利率风险稳定作用更为显著.

Empirical study on the impact of deposit insurance system on commercial banks' interest rate risk

Considering the strong synchronism and linkage on economies, trades, and currencies between China and 6 countries of ASEAN (Association of Southeast Asian Nations) , based on financial data of main commercial banks in the 6 countries of ASEAN from 2000 to 2015, using three-year moving standard deviation of net interest margin as the proxy for interest rate risk, this paper examines how the deposit insurance system affects commercial banks'' interest rate risk. Moreover, whether this influence would be different due to commercial banks'' sizes, concentration of banking industries and legal institutions in the 6 countries of ASEAN is also examined. The results show that deposit insurance system can alleviate commercial banks'' variability of net interest margin and stabilize the interest rate risk. Moreover, this stabilization effect can be influenced by commercial banks'' sizes, concentration of banking industries and legal institutions in the 6 countries of ASEAN. This stabilization effect of deposit insurance system on commercial banks'' interest rate risk is statistically significant, with reduction of the concentration in banking industries strengthening the stabilization effect, no matter in short-term or long-term. The promotion of the legal institutions in the 6 countries of ASEAN would weaken the stabilization effect in short-term but strengthen the effect in long-term. Besides, compared with commercial banks in high income counties in the sample, deposit insurance system has a more significant stabilization effect in middle-high and middle-low income countries of ASEAN.