最適的存款保險政策－以賽局理論為分析基礎

The Optimal Deposit-Insurance Polices under Game Theoretical Approaches

張瓊云(Chiung-Yun Chang)

指導教授 ： 陳孝琪

國立臺北大學/社會科學學院/經濟學系/博士(2013年)

摘要

本論文的三篇文章是探討最適的存款保險政策。在第二章及第三章中，我們延伸存款保險文獻，考慮存款保險費率與資本適足率兩項政策工具。第二章，是在獨占市場結構下，探討存款保險當局的最適存款保險費率與資本適足率決策。第三章，則是引進銀行競爭，探討在雙占市場結構下，當銀行放款是同質及異質時的最適存款保險政策。第四章，則是研究最適的存款保險保障比例。由第二章的分析，我們首先得到最適的存款保險費率與資本適足率。其次，存款保險費率與資本適足率兩項政策工具是互補的。再者，當存款保險的目的是為了維護金融體系的安定，則多項政策工具比單項政策工具來得有效。當銀行間的競爭納入模型，由第三章的分析得到：銀行的放款被借款人視為同質時，雙占市場結構下的資本適足率與銀行放款會比獨占市場結構下來的低，但存款保險費率不變；銀行的放款被借款人視為異質時，則隨著放款異質程度越大，存款保險費率與銀行放款會增加，但資本適足率會下降。論文的第四章，是探討最適的存款保險保障比例，透過分析我們得到存款保險保障比例的決定因子。其次，在存款保險文獻中，政府提供全額保險、存款人願意將所有資產存入銀行的假設，在銀行倒帳機率不高且銀行獲利能力為極端下才成立。再者，限額保險是最適解的結果與現行存款保險制度是一致的。

關鍵字

存款保險 ； 資本適足率 ； 有限責任 ； 限額保險

並列摘要

The dissertation consists of three articles related to the optimal deposit insurance policies. In Chapter 2 and Chapter 3, we expand the literature on deposit insurance by endogenizing the deposit insurance premium and the capital adequacy requirement simultaneously. The optimal policy in a monopoly market structure is formulated in Charter 2. In Charter 3, competition between banks is introduced. We investigate the optimal regulation forms under the Cournot market structure with homogeneous and differentiated services. The optimal extent of deposit insurance coverage is studied in Charter 4.
In Charter 2, we first characterize the optimal forms of deposit insurance premium and capital adequacy requirement. It turns out that these two policy instruments are complements. Moreover, in terms of maintaining stability of the banking system, multiple policies are better than one policy only.
In Charter 3, we show that in a Cournot game with homogenous service the optimal capital adequacy requirement and loans are lower than those in monopoly game. However, the optimal insurance premium is unchanged. In a Cournot game with differentiated services, the optimal loan and deposit insurance premium increase but the optimal capital adequacy requirement declines as the loan service is more differentiated.
In Charter 4, we first show the regularity condition that determines the extent of deposit insurance coverage. The assumption of full coverage and full saving in the literature on concerning the role or the effect of deposit insurance is applied as the probability of bankruptcy is not large and the profitability of the bank is an extreme value. Moreover, the result that the regulator can establish partial coverage deposit insurance corroborates the policy we have usually observed in the real world.

並列關鍵字

deposit insurance ； capital requirement ； limited liability ； partial insurance

參考文獻

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