This study investigates how deposit insurance, especially in terms of its design features, affects the sources of banking systemic risk. We do so by decomposing a bank's contribution to systemic risk into idiosyncratic tail risk (Alpha), the exposure to fundamental macroeconomic and finance factors (Beta) and bank interconnectedness (Gamma). Our results indicate that while deposit insurance may increase Alpha, there is a U-shaped relationship between deposit insurance coverage and Beta and Gamma, indicating the existence of an optimal coverage level that minimizes systemic risk. We also find that insurance design characteristics significantly affect the U-shaped relationship. Deposit insurance designed to be independently organized, with public administration, additional supervision and risk minimization functions, and private funding, further reduces the systemic risk associated with any given level of coverage. With several robustness checks, including potential endogeneity, heterogeneity, and possible limits in the sample, the results remain valid. Our results should benefit policymakers who design and optimize deposit insurance schemes to ensure that they play a positive role.

本研究调查存款保险，特别是其设计特点，如何影响银行系统性风险的来源。为此，我们将银行对系统性风险的贡献分解为特殊尾部风险 (Alpha)、对基本宏观经济和金融因素的敞口 (Beta) 以及银行关联性 (Gamma)。我们的研究结果表明，虽然存款保险可能会增加 Alpha，但存款保险覆盖率与 Beta 和 Gamma 之间存在 U 型关系，表明存在将系统性风险降至最低的最佳覆盖水平。我们还发现保险设计特征显着影响 U 型关系。旨在独立组织的存款保险，具有公共管理、额外的监督和风险最小化功能以及私人资金，进一步降低与任何给定覆盖水平相关的系统性风险。通过多项稳健性检查，包括样本中的潜在内生性、异质性和可能的​​限制，结果仍然有效。我们的结果应该有利于设计和优化存款保险计划的政策制定者，以确保他们发挥积极作用。