我國銀行業存款保險費率訂價之實證研究

Abstract

Allen和Saunders(1993)將存款保險的價值看作是一個賣權減掉一個買權的價值，Hwang et al.(2009)以此模型為基礎，考慮破產成本對存款保險的影響，並假設破產成本為資產報酬率標準差的函數。 本文首先使用台灣上市櫃銀行資料，利用邏輯回歸模型(Logit regression model)，估計各銀行的破產機率。其次，我們進一步將利率、資產市價報酬率的標準差、銀行被政府介入經營時的資產負債比資料置入Hwang et al.(2009)考慮破產成本與接管政策下理論存保費率訂價的模型中，來估計樣本銀行的存款保險費率之理論價值。 由於目前台灣中央存保公司對銀行收取的存保費率為0.03%到0.07%，距離應用Hwang et al.(2009)模型所估計出的存款保險理論費率1%相差甚遠，出現訂價過低的情況。換言之，政府在保費上對銀行進行實質補貼，且少數經營風險低的銀行補貼多數經營風險高的銀行。雖然政府補貼銀行的行為增加了國家的財政負擔，但是銀行所需繳交的保險費用減少，盈餘增加，倒閉的機率降低，可以減少管理階層的道德危險。 中央存款保險公司針對經營績效不佳的銀行收取較高的保費，除了可以符合公平訂價原則的目的外，也可充分落實市場機制。如此，除了可讓壞銀行因繳不起較高的保費而提早退出市場外，還可以提升金融市場的集中度與安定度。

Allen and Saunders (1993)viewed the value of deposit insurance as the value of a put minus a call. According to this model, Hwang et al. (2009) took the impact of bankruptcy cost on the deposit insurance into account, and then hypothesized that bankruptcy cost is a function of standard deviation of ROA. First, we estimate the bankruptcy probabilities of banks listed on Taiwan-stock-exchange and the Over-the-counter market in Taiwan by using Logit regression model, and then put interest rate, standard deviation of ROA (market prices), and the ratio of asset to liability when the government interferes in bad banks into the pricing of deposit insurance premium model proposed by Hwang et al. (2009) which includes bankruptcy cost and closure policy in order to estimate the fair rate of deposit insurance premium. The fair rate of deposit insurance premium, 1%, is much higher than the present rate of deposit insurance Central Deposit Insurance Corporation charges, 0.03% to 0.07%. Indeed, it is underpricing. In other words, the government subsidizes banks on deposit insurance substantially. Moreover, a few banks running less risky subsidize most banks running more risky. Although subsidizing banks by the government causes financial deficits, the deposit insurance premium which banks have to pay decreases. Therefore, the net income of banks increases and the bankruptcy probability decreases. It could also solve the problem of moral hazard. Charging bad banks more premium by Central Deposit Insurance Corporation is not only fair but also realizing the free market function, which let bad banks go away because of high deposit insurance premium and increases concentration and stability in the financial market.