Risk-Shifting Behavior in Taiwan's Small and Medium-Sized Commercial Banks under Different Deposit Insurance Systems

我國中小企業銀行之風險轉嫁行為－不同存款保險費率制度下之探討

張傳章(Chuang-Chang Chang) ； 陳薇如(Wei-Ju Chen)

《財務金融學刊》 21卷4期 (2013/12) Pp. 1-24

https://doi.org/10.6545/JFS.2013.21(4).1

摘要

本文檢定我國中小企業銀行在存款保險風險差別費率制度實施前後的風險轉嫁行為，我們採用Duan et al.(1992)的模型進行檢定。我們的實證結果顯示，風險制約因子在風險差別費率制度實施後，制約效果反而減弱。另外，我們的實證結果也顯示我國中小企銀在單一費率期間確實存在風險轉嫁行為，而此行為並未因為風險差別費率制度實施而消失。

關鍵字

風險轉嫁行為 ； 風險差別費率制度 ； 存款保險費率 ； 最大概似估計

並列摘要

This paper examines the risk-shifting behavior of Taiwan's small and medium-sized commercial banks both prior to and after the adoption of a risk-based premium system. We use the Duan et al. (1992) model to investigate the changes in their risk-shifting behavior. We find that the effects of risk-restraining measures were reduced as a result of the adoption of the risk-based system. Our results also demonstrate that risk-shifting behavior within these commercial banks was quite successful under the flat-rate premium system, and that such behavior was not mitigated as a result of the implementation of the risk-based premium system.

並列關鍵字

Risk-shifting behavior ； risk-based premium system ； deposit insurance premium ； maximum likelihood estimation

參考文獻

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Duan, Jin Chuan,Moreau, Arthur F.,Sealey, Calvin W.(1992).Fixed-rate deposit insurance and risk-shifting behavior at commercial banks.Journal of Banking and Finance.16,715-742.

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