淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


系統識別號 U0002-2505200521161800
中文論文名稱 台灣存款保險定價改革之研究
英文論文名稱 A Study on Reforming Taiwan's Deposit Insurance Pricing
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 林容竹
研究生英文姓名 Jung-Chu Lin
學號 888490017
學位類別 博士
語文別 英文
口試日期 2005-05-04
論文頁數 90頁
口試委員 指導教授-蕭峯雄
指導教授-林景春
委員-林景春
委員-楊朝成
委員-劉啟群
委員-歐進士
委員-洪坤
中文關鍵字 監理姑息  選擇權評價模型  風險基準的存款保險費率 
英文關鍵字 regulatory forbearance  option pricing model  risk-based deposit insurance premium 
學科別分類 學科別社會科學商學
中文摘要 金融重建基金即將在今年七月到期,屆時保障存款大眾權益、健全銀行經營與維繫金融安定之重責大任又將重回中央存款保險公司肩上。如何改革台灣存款保險中的定價制度,以使中央存款保險公司能再度膺此重任,尤為各界期待與關切的議題。本論文即以如何改革台灣存款保險中定價制度為研究主題。
首先探討與定價攸關的各項議題,包括逆選擇與道德危險、保障額度與範圍、兩類最適存款保險費率的決定方法以及風險基準的存款保險費率能否解決道德危險問題等;其次回顧以選擇權評價模型計算風險基準的存款保險費率之重要文獻,主要為Merton (1977), Marcus and Shaked (1984) 與 Ronn and Verma (1986) 所提出的以選擇權評價為基礎的存款保險定價模型,因Ronn and Verma (1986) 較其他模型所具有的優勢,且考慮了監理姑息因素,故本論文選擇以此模型估計台灣32家上市銀行在1999至2001年的風險基準的存款保險費率。接著並參酌先進國家美加兩國在存款保險定價制度中改革之經驗,結合前章實證估計結果,提出對台灣存款保險最高保額、存保基金與風險基準存款保險費率改革之建議。
本論文的主要發現:(1)所估計的台灣上市銀行的存款保險費率隨著時間的經過而增加,且隨著監理姑息程度的增加,所估計的保費也跟著增加;(2)不同的監理姑息程度將導致定價過高或過低不同的推論;因此,存款保險機構是否高估或低估存款保險費率端視其監理姑息程度而定;(3)以所估計的存保費率與實際費率比較,台灣的存款保險制度存在有定價偏低、費率範圍太窄、費率差距太小與級數太少等缺點,為改革之重點。
本論文對台灣存款保險定價制度改革之建議為:(1)在最高保額方面,不建議增加被保存款上限;(2)在存款保險基金方面,建議訂定一個存保基金準備比率目標值(DRR),以作為適當保費設定之依據,從而能夠快速累積足夠的存款保險基金;同時當存保基金準備比率達到目標值後,應轉而採取區間目標值;(3)在保險費率之訂定方面,根據實證結果,為確保存款保險制度之公平與有效,應調高保險費率,否則需遵循比較嚴格地關閉有問題銀行的原則並採行立即糾舉措施,同時還應將存保費率範圍與各級費率差距拉大,費率級數也應增加,以確實反映受保機構之風險。
本論文之主要貢獻:(1)第一篇以考慮了監理姑息之選擇權基礎之存款保險定價模型估計台灣上市銀行適當的存款保險費率之研究;(2)以實證結果歸納出台灣存款保險制度亟待改革的部分,並為台灣中央存款保險公司計畫調整其定價制度之行動提供實證支持;(3)以考慮了監理姑息之選擇權基礎之存款保險定價模型提供台灣中央存款保險公司改革定價制度之參考,此定價方法納入市場資訊與各被保機構對存保公司可能產生的潛在負債,並考慮監理姑息,有助於存保公司訂定公平且具彈性的費率,以便快速累積存款保險基金並提供銀行管理風險之誘因。(4)本論文對台灣存款保險定價制度提出了有價值的建議。
英文摘要 Since the Financial Restructuring Fund will be ceded in the coming July of 2005, the Central Deposit Insurance Corporation (hence CDIC) will be required at that time to reassume the responsibilities of protecting the rights of depositors, keeping the sound operation of the banks, and maintaining the stability of financial system. How to reform the pricing scheme of Taiwan’s deposit insurance system in order to have the CDIC carry out its mandates again has been and still is the critical issue concerned. Thus, this thesis mainly focuses on the issue of how to reform the deposit insurance pricing system.
In the beginning, I examine the major issues related to deposit insurance pricing including adverse selection and moral hazard, the coverage of deposit insurance, the two kinds of pricing mechanisms applied to decide optimal insurance premium rates, and whether the risk-based deposit insurance premiums can solve the moral hazard problem. Then, I review the literature that applies option-pricing models to the deposit insurance pricing, especially those developed by Merton (1977) and his follows (Marcus and Shaked 1984, Ronn and Verma 1986). Furthermore, since that Ronn and Verma (1986) model owned advantages over other models and considered insurers’ policies, that is, regulatory forbearance, I pick this model to perform an empirical estimation using the data for 32 Taiwan Stock Exchange (TSE) listed commercial banks to calculate the proper deposit insurance premiums of these banks during the period of 1999 to 2001. And then, by considering the reforms of the deposit insurance pricing occurred in U.S. and Canada combined with the former empirical results, I propose recommendations for the reforms on the coverage of deposit insurance, the deposit insurance fund and the risk-based deposit insurance premiums of Taiwan’s CDIC.
The main findings are stated as follows: (1) the estimated deposit insurance premiums, in addition to increasing with time, are also increasing with the degree of regulatory forbearance. (2) Different degrees of regulatory forbearance will lead to different inferences regarding over- or under-charging. The extent to which the deposit insurer under- or over-prices the deposit insurance premiums will depend on the degree of regulatory forbearance. (3) While comparing Taiwan’s present risk-based assessment rates with our results, problems including the levels of premium rates being too low, the range too narrow, the spreads too small, the tiers too few become clear. Thus how to deal with these problems is the focal point of the reform.
The recommendations of this thesis for the reforms of Taiwan’s deposit insurance pricing are stated as follows: (1) in the aspect of deposit insurance coverage, we suggest not to increase the insured-deposit limit for the nonce. (2) In the aspect of deposit insurance fund, we suggest that Taiwan’s CDIC should have its own DRR in order to set proper premium rates to accumulate sufficient funds, and that the fund should fluctuate within some bounds when the actual reserve ratio of deposit insurance fund hits the DRR. (3) In the aspect of assessing deposit insurance premiums, we suggest that in order to ensure the fairness and effectiveness of the deposit insurance system, the premium rates should be raised or stringent closure rule along with PCA should be adopted, the ranges and spreads of premium rates should be widen, and the number of tiers should be increased in order to reflect the risks insured institutions bear.
The main contributions of this thesis are stated as follows: (1) it is the first study that applies option-based model, which is also incorporated regulatory forbearance to estimate proper deposit insurance premiums of Taiwan’s listed banks. (2) Utilizing the empirical results to induce the parts of Taiwan’s deposit insurance pricing that in urgent need for reforms, and the results also provide justifiability and empirical support for Taiwan CDIC’s intention to adjust its pricing system. (3) This thesis proposes an alternative option, which is an option-based and under regulatory forbearance model for Taiwan’s CDIC to reform its pricing system. This model incorporating market data and considering a bank’s potential liability to the insuring agency and regulatory forbearance helps CDIC in Taiwan set proper and elastic premium rates and provide incentives for insured banks to manage their risks. (4) The thesis proposes valuable recommendations for the reform of Taiwan’s deposit insurance pricing.
論文目次 TABLE OF CONTENTS
Page
Chapter 1: Introduction 1

1.1 The Motivation of the Thesis 1
1.2 The Purpose of the Thesis 4
1.3 The Structure of the Thesis 6

Chapter 2: Issues on and Option Models for Deposit
Insurance Pricing 8

2.1. Introduction 8
2.2. Issues on Deposit Insurance Pricing 9
2.2.1. Adverse Selection and Moral Hazard in Deposit
Insurance 9
2.2.2. The Scope and Level of Coverage 11
2.2.3. Choosing between Alternative Premium Systems 11
2.2.4. Can Risk-Based Deposit Insurance Premiums Control
Moral Hazard? 13
2.2.5. Incentive Compatible Deposit Insurance Pricing
and Regulation Policy 14
2.3. Option Models for Deposit Insurance Pricing 15
2.3.1. Merton’s Option Models for Deposit Insurance
Pricing 15
2.3.2. Marcus-Shaked and Ronn-Verma Models for Deposit
Insurance Pricing 18
2.3.3. Other Option Models for Deposit Insurance
Pricing 21
2.4. Summary of the Chapter 24

Chapter 3: Empirical Estimation of Deposit Insurance
Premiums Using Ronn-Verma Option Model for
Taiwan’s Commercial Banks 25

3.1. Introduction 25
3.2. Empirical Model 27
3.3. Data 30
3.4. Empirical Findings 32
3.5. Implications of Empirical Results 36
3.6. Summary of the Chapter 37

Chapter 4: Proposal for Reforming Taiwan’s Deposit
Insurance Pricing 53

4.1. Introduction 53
4.2. The Reforms of Deposit Insurance Pricing in U.S. and
Canada 55
4.2.1. The Reforms of the Coverage of Deposit Insurance
in U.S. and Canada 55
4.2.2. The Reforms of the Deposit Insurance Funds in
U.S. and Canada 59
4.2.3. The Reforms of Deposit Insurance Premiums in U.S.
and Canada 63
4.3. The Proposal for Reforming Taiwan’s Deposit
Insurance Pricing 70
4.3.1. The Reform Proposal for the Coverage of Deposit
Insurance of Taiwan’s CDIC 70
4.3.2. The Reform Proposal for the Deposit Insurance
Funds of Taiwan’s CDIC 72
4.3.3. The Reform Proposal for the Deposit Insurance
Premiums of Taiwan’s CDIC 75
4.4. Summary of the Chapter 79

Chapter 5: Conclusions 82

5.1. The Findings of the Empirical Estimation on the
Risk-Based Deposit Insurance Pricing 83
5.2. The Proposal for Reforming Taiwan’s Deposit
Insurance Pricing 84


References 87

LIST OF FIGURES
Figures Page
Figure 3-1 Risk-based Deposit Insurance Premium, 1999, under various ρs 40
Figure 3-2 Risk-based Deposit Insurance Premium, 2000, under various ρs 41
Figure 3-3 Risk-based Deposit Insurance Premium, 2001, under various ρs 42
Figure 3-4 A Comparison of Risk-based Deposit Insurance Premiums for the Three Years, ρ=0.95 43
Figure 3-5 A Comparison of the Actual and Weighted Average Premiums under Various ρs for the three Years 44
Figure 3-6 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 1999 45
Figure 3-7 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 2000 46
Figure 3-8 A Comparison of the Ranges of Deposit Insurance Premiums under Variousρs for 2001 47
Figure 3-9 A Comparison of the Spreads under Various ρs for the Three Years 48

LIST OF TABLES
Tables Page
Table 2-1 Payoffs of Firms Credits with a Third-Party Guarantee 17
Table 3-1 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 1999 49
Table 3-2 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 2000 50
Table 3-3 Risk-based Deposit Insurance Premiums (per ten thousand deposit), 2001 51
Table 3-4 Summary Statistics of Deposit Insurance Premiums (ρ = 0.95 ) 52
Table 3-5 Comparisons of the Means, Ranges and Spreads of the Risk-adjusted Deposit Insurance Premiums 52
Table 4-1 A Comparison of the Coverage of Deposit Insurance among U.S., Canada and Taiwan 59
Table 4-2 The Reforms of Deposit Insurance Funding & Fund Management among U.S., Canada and Taiwan 62
Table 4-3 The Percentage of Number of FDIC-Insured Institutions and Assessable Deposits in Risk Groups, 12/31/2002 64
Table 4-4 The Comparison of Risk Assessment and Intervention among U.S., Canada and Taiwan 69
Table 4-5 The Assigned Premium Rates for Each of the Nine Groups for the CDIC Insured Institutions 77
參考文獻 References

Acharya, Sankarshan, and Jean-François Dreyfus, 1989. Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance. Journal of Finance Vol. 44, No. 5, 1313-33.
Acharya, Sankarshan, 1996. Charter Value, Minimum Bank Capital Requirement and Deposit Insurance Pricing in Equilibrium. Journal of Banking and Finance 20, No. 2, pp. 351-75.
Allen, Linda, and Anthony Saunders, 1993. Forbearance and Valuation of Deposit Insurance as a Callable Put. Journal of Banking and Finance 17, No. 4, pp. 629-43.
Barth, James R., John J. Feid, Gabriel Riedel, and M. Hampton Tunis, 1989. Alternative Federal Deposit Insurance Regimes. Research Paper No. 152, Federal Home Loan Bank Board.
Barth, James R., and Michael G. Bradley, 1989. Thrift Deregulation and Federal Deposit Insurance. Journal of Financial Services Research 2, No. 3, 231-59.
Barth, James R., Philip F. Bartholomew, and Michael G. Bradley, 1990, Determinants of Thrift Institution Resolution Costs. Journal of Finance 45, No. 3, 730-54.
Bensoussan, A., M. Crouhy, and D. Galai, 1994. Stochastic Equity Volatility Related to the Leverage Effect. I. Equity Volatility Behaviour. Applied Mathematical Finance 1, pp. 63-85.
Blair, Christine, and Gary S. Fissel, 1991. A Framework for Analyzing Deposit Insurance Pricing. FDIC Banking Review 4, No. 2, 25-38.
Black, F. and M. Scholes, 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, No. 81, 637-659.
Buser, S. A., H. Chen, and E. J. Kane, 1981. Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital. Journal of Finance 36, 51-60.
Canada Deposit Insurance Corporation (CDIC), 1998. CDIC Premium By-Law: Description of Revised Premium System and Review of Comments Received, Ottawa, Canada.
Canada Deposit Insurance Corporation (CDIC), 2003. International Deposit Insurance Survey (http://www.cdic.ca/?id=285).
Carisano, Rita, 1992. Deposit Insurance: Theory, Policy and Evidence. Ashgate.
Chan, Yuk-Shee, Stuart I. Greenbaum, and Anjan V. Thakor, 1992. Is Fairly Priced Deposit Insurance Possible? The Journal of Finance, Vol. 47, No. 1, 227-245.
Diamond, D. W., 1984. Financial Intermediation and Delegated Monitoring. Review Economic Studies 51, 393-414.
Diamond, D. W., P. H. Dybvig, 1983. Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy 91, 401-419.
Dreyfus, Jean-Francois, Anthony Saunders, and Linda Allen, 1994. Deposit Insurance and Regulatory Forbearance: Are Caps on Insured Deposits Optimal? Journal of Money, Credit, and Banking 26, No. 3, 412-38.
Duan, Jin-Chuan, Arthur F. Moreau, and C. W. Sealey, 1993. Incentive Compatible Deposit Insurance Pricing and Bank Regulatory Policies. Research in Finance 11, pp. 207-27.
Duan, Jin-Chuan, and Min Teh Yu, 1994. Forbearance and Pricing Deposit Insurance in a Multiperiod Framework, Journal of Risk and Insurance 61, No. 4, 575-91.
Duan, Jin-Chuan, and Min Teh Yu. 1999. Capital Standard, Forbearance and Deposit Insurance Pricing under GARCH, Journal of Banking and Finance Vol. 23, No. 11, 1691-706.
Fama, E. F., 1980. Banking in the Theory of Finance, J. Monetary Economics, 39-58.
Federal Deposit Insurance Corporation (FDIC), 1983, Deposit Insurance in a Changing Environment, Washington, D. C.
Federal Deposit Insurance Corporation (FDIC), 2000. Deposit Insurance Options Paper, FDIC.
Financial Stability Forum (FSF), 2001. Guidance for Developing Effective Deposit Insurance Systems, Final Report of the Working Group on Deposit Insurance, Bank For International Settlements, Basel, 2001, Discussion Paper on Funding, Background Documents, September 2001.
Fisher, S., 1978. Call Option Pricing When the Exercise Price is Uncertain. Journal of Finance 33, 169-176.
Flannery, Mark, 1991. Pricing Deposit Insurance When the Insurer Measures Bank Risk with Error. Journal of Risk and Insurance 15, No. 4-5, pp. 975-998.
Friedman, M. 1962. Capitalism and Freedom. University of Chicago Press, Chicago, Ch. 3.
Garcia, G., 2000. Deposit Insurance: Actual and Good Practices, IMF.
Gueyie, J. P. and V. S. Lai, 2003. Bank Moral Hazard and the Introduction of Official Deposit Insurance in Canada. International Review of Economics and Finance 12, 247-273.
Humphrey, David B., 1976. 100 Percent Deposit Insurance: What Would It Cost? Journal of Bank Research 7, 192-98.
Kaufman, George G., and Steven A. Seelig, 2000. Post-Resolution Treatment of Depositors at Failed Banks: Implications for the Severity of Banking Crises, SystemicRisk, and Too-Big-To-Fail. Working Paper No. WP-00-16. Federal Reserve Bank of Chicago.
Lee, Wai Sing, and Chuck C. Y. Kwok, 2000. Domestic and International Practice of Deposit Insurance: A Survey. Journal of Multinational Financial Management 10, No. 1, 29–62.
Marcus, A. and I. Shaked, 1984. The Valuation of FDIC Deposit Insurance Using Option Pricing Estimates. Journal of Money, Credit and Banking, No. 16, 446-460.
Martin, Antoine, 2003. A Guide to Deposit Insurance Reform. Economic Review, Federal Reserve Bank of Kansas City. First Quarter, 29-54.
Merton, R C., 1974. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29, 449-470.
Merton, R.C., 1977. An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees. Journal of Banking and Finance 1, 3-11.
Merton, R.C., 1978. On the Cost of Deposit Insurance When There are Surveillance Costs. Journal of Business 51, pp. 439-452.
Mishkin, F. S., 2004, Economics of Money, Banking, and Financial Markets, 7th Edition, Pearson Education Inc.
Pennacchi, George G., 1987a. Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance 11, pp. 291-312.
Pennacchi, George G. 1987b. A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit and Banking 19, pp. 340-60.
Pennacchi, George G., 2004. Risk-Based Capital Standards, Deposit Insurance and Procyclicality. FDIC Center for Financial Research, Working Paper 2004-05.
Prescott, E. S., 2002. Can Risk-Based Deposit Insurance Premiums Control Moral Hazard? Economic Quarterly- Federal Reserve Bank of Richmond 88, No. 2, 87-100.
Ronn, E. and A. Verma, 1986. Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model, Journal of Finance, No. 41, pp. 871-895.
Ronn, E. and A. Verma, 1989. Risk-Based Capital Adequacy Standards for a Sample of 43 Major Banks. Journal of Banking and Finance 13, pp. 21-29.
Scott, Kenneth E., and Thomas Mayer, 1971. Risk and Regulation in Banking: Some Proposals for Federal Deposit Insurance Reform. Stanford Law Review 23, 857-902.
So, Jacky, and Jason Z. Wei, 2004. Deposit Insurance and Forbearance under Moral Hazard. Journal of Risk and Insurance 71, No. 4, 707-735.
Thomson, James B, 2000a. Raising the Deposit-Insurance Limit: A Bad Idea Whose Time Has Come? Federal Reserve Bank of Cleveland Economic Commentary (April 15).
Thomson, James B, 2000b. Two Deposit Insurance Funds Are Not Necessarily Better Than One. Federal Reserve Bank of Cleveland Economic Commentary (October 15).
論文使用權限
  • 不同意紙本論文無償授權給館內讀者為學術之目的重製使用。
  • 不同意授權瀏覽/列印電子全文服務。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信