隨機利率下之存款保險費率：臺灣銀行實證研究

Deposit Insurance Premium under Stochastic Interest Rate: An Empirical Study of Taiwan's Banks

林怡君(Yi-Chun Lin)

指導教授 ： 俞明德 ； 陳軒基

元智大學/管理學院/財務金融學系/碩士(2003年)

摘要

本論文應用Duan and Simonato (2002)的隨機利率存款保險最大概似法估計臺灣本土銀行在隨機利率下的存款保險費率。本文使用九十天期商業本票替代零息債券。實證研究得知，相較於市場模型估算出的費率，目前中央存款保險公司所收取的萬分之五、五點五、六此三個等級的固定費率偏低，不能反應銀行所承擔的高風險。本實證得出的費率較Duan, et al. (1995)的隨機利率存款保險模型的費率高，主要是因為非利率風險的影響。本實證得出的費率較Duan and Yu (1994b)使用的存款保險最大概似估計值時高時低，反應出隨機利率的影響。本文亦探討公司規模對存款保險費率的影響，得知：當公司規模愈大，公司的非利率風險、資產市值波動性、存款保險費率愈低；當公司規模愈小，非利率風險、資產市值波動性、存款保險費率愈高。

關鍵字

存款保險 ； 隨機利率

並列摘要

This empirical study of Taiwan’s banks applies the two-step maximum likelihood estimation method of Duan and Simonato (2002) to evaluate deposit insurance premium under stochastic interest rate. Since there have been only two zero-coupon bonds in Taiwan, the 90-day commercial paper is used as proxy. The empirical results show the fixed-rate deposit insurance premiums charged by the CDIC are lower than the risk-adjusted market values. The estimates of deposit insurance premiums of this study are much higher than those of the modified Ronn-Verma method because of the interest-rate-irrelevant risk and are either higher or lower than those of the Ronn-Verma with MLE due to stochastic interest rate. As for the size effect, the results express the smaller banks have higher estimates of interest-rate-irrelevant risk, asset volatility, and insurance premiums, and vice versa.

並列關鍵字

deposit insurance ； stochastic interest rate

參考文獻

Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-659.

Cox, J. C., J. E. Ingersoll, and S. A. Ross (1985), A theory of the term structure of interest rates, Econometrica 53 (2), 385-402.

Duan, J. C., 1994, Maximum likelihood estimation using price data of the derivative contract, Mathematical Finance 4 (2), 155-167.

Duan, J. C., 2000, Correction: Maximum likelihood estimation using price data of the derivative contract, Mathematical Finance 10 (4), 461-462.

Duan, J. C., A. Moreau and C. W. Sealey, 1992, Fixed-rate deposit insurance and risk-shifting behavior at commercial banks, Journal of Banking and Finance 16, 715-742.