CAJ | 학술논문

利用事件研究法，采用浮动窗口，将商业银行分为大型和中小型两大类，研究了金融危机后这两类银行股票收益率对准备金率调整的市场反应，并检验了预期的作用、准备金率上调与下调的不对称性反应，据此判断银行是否承担了准备金税。研究表明：两类银行股票收益率的市场反应是显著的，商业银行承担了准备金税，而且大型商业银行更为显著；不仅如此，市场还能提前预期到准备金率调整政策，上调政策对银行的影响大于下调政策。
이용사건연구법，채용부동창구，장상업은행분위대형화중소형량대류，연구료금융위궤후저량류은행고표수익솔대준비금솔조정적시장반응，병검험료예기적작용、준비금솔상조여하조적불대칭성반응，거차판단은행시부승담료준비금세。연구표명：량류은행고표수익솔적시장반응시현저적，상업은행승담료준비금세，이차대형상업은행경위현저；불부여차，시장환능제전예기도준비금솔조정정책，상조정책대은행적영향대우하조정책。
By applying the event-study method and floating windows, this study classifies commercial banks into large-scale ones and small and medium-sized ones. By analyzing the market reaction of bank stock returns to reserve rate adjustment, the market expectations and the asymmetric effects of reserve rate increasing and decreasing after the financial crisis, whether commercial banks are liable for reserve requirement tax is explored. The findings indicate that reserve requirement tax is assumed by bank stockholders, particularly to large-scale commercial banks. Moreover, the market could predict the coming of reserve rate adjustment policies, and to commercial banks an increase in reserve rate has more significant impact than a decrease. Finally, some policy implications are put forward.