Federal Deposit Insurance Premiums: Issues, Proposals, and Critiques

Abstract

本文旨在全面檢視美國聯邦存款保險費率的評價理論。由於存款保險費率的訂價模式究竟應維持現行單一費率制度(Flat-rate premiums)還是應採行風險基準的變動費率制度(Risk-based Variable rate premiums)在美國已引起長達十多年的爭辯，至今仍然是熱門的討論課題。由於我國銀行經營競爭日趨劇烈，國內的存款保險制度也須未雨綢繆而有必要藉助於先進國家的制度和經驗，因此本文將現行被提出的各種存保費率訂價模式作全面性的深入探討，並且針對各種可能的改進方案作比較分析及評論，希冀提供國人對存保費率的評價問題上能有更深一層的認識與瞭解。

This study critically examines the issues, proposals and models for evaluating Federal Deposit Insurance Premiums from both micro and macro viewpoints. The models examined include both alternative option pricing and non-option approaches. For the option approach, we first examine Merton`s [1977] cost of deposit insurance pricing model. Then, we look at alternative pricing model following along Merton`s lines. Finally, we introduce the theoretical application of the option pricing model with stochastic volatility to the valuation of FDIC deposit insurance premiums. For the non-option approach, we First review the risk-based bank-failure contingency models. Then, we survey Sharpe`s state preference model and its extensions. Finally, we investigate the pricing models which consider bank`s risk-shifting incentive issues from macro viewpoints. Finally, we review alternative proposals for reforming the insurance system. We first examine 100% deposit insurance. Then, we review and examine the variable-rate insurance system. Finally, we critically investigate the private deposit insurance system.