监管改革、外部冲击与银行预期盈利——基于事件研究法的经验分析

Regulatory Reform,External Shocks and Bank Expected Profitability:Evidence with the Event Study Method

本文基于事件研究法,考察了2008—2015年期间的重大监管改革事件和外部冲击事件对中国银行业预期盈利水平的影响。结果表明,"三办法一指引"出台、"七不准、四公开"公布、资本办法实施、雷曼破产、"钱荒"等5个事件对银行预期盈利有显著负向影响;监管架构改革、4万亿刺激计划等2个事件对银行预期盈利有显著正向影响。同时,银行预期盈利对利空事件的反应较快。在此基础上提出相关建议和措施。

With the event study method, this paper examines the effects of key regulatory reform and external shock events of domestic commercial banks between 2008--2015 on bank expected profitability. The empirical analysis shows that new loan rule, supervision of the commercial bank service charges, capital regulation, the bankruptcy of Lehman and money shortage have significant negative effects, while the regulatory structure reform and economic stimulus plan have positive effects. The effects of the bad events are stronger than that of the good events. Finally, this paper puts forward suggestions and measures.