규제 변화의 파급효과: 경기대응완충자본이 국내 은행 및 은행지주회사의 신용 리스크와 주가에 미치는 영향

This study empirically analyzes the impact of Countercyclical Capital Buffer(CCyB) regulations on the credit risk and stock prices of domestic banks and bank holding companies in South Korea. Following the 2008 global financial crisis, the CCyB was introduced as a key component of the Basel Ⅲ framework, designed to be a powerful macroprudential tool. Its primary purpose is to enhance the resilience of the financial system by requiring banks to accumulate additional capital during periods of excessive credit growth, which can then be released to absorb shocks and maintain lending capacity during economic downturns. This paper investigates how market participants in the Korean financial market perceive and react to these regulatory changes. This research is particularly timely as South Korea implemented its first CCyB requirement in May 2024. Following the event study methodology (MacKinlay, 1997) and adapting the specific analytical framework of Couaillier and Henricot(2023), this study uses panel regression analysis on data from 2014 to 2024 to examine the spillover effects of CCyB announcements—both domestic and international—on banks’ credit risk, as measured by CDS spreads, and on their market valuation, reflected in stock returns. The analysis reveals two primary findings that are both consistent with and distinct from those of previous studies. First, the strengthening of CCyB requirements leads to a significant decrease in the CDS spreads of affected banks. This suggests that market participants view the enhancement of capital buffers as a credible commitment to financial stability. The regulation acts as a positive signal, reducing perceived default risk and thereby contributing to greater financial stability. This result confirms that the CCyB is effective in achieving one of its core policy objectives. In contrast, the study uncovers a complex and predominantly negative impact on stock prices. The announcement of a CCyB increase results in a statistically significant decline in bank stock prices. This reaction likely reflects market concerns over reduced profitability and lower shareholder returns, as banks are forced to hold more capital and may face constraints on dividend payouts or share buybacks. Interestingly, the study finds that a CCyB decrease also correlates with a negative stock price reaction. This suggests that the market interprets the policy easing not as a direct benefit to the bank’s capital flexibility, but rather as an official signal of an economic downturn or deteriorating financial conditions. Furthermore, such regulatory announcements introduce short-term policy uncertainty, which, as demonstrated by Pástor and Veronesi (2012), can increase market volatility and contribute to stock price declines. In this context, the combined impact of a negative economic signal and heightened policy uncertainty appears to outweigh the potential positive impact of the capital relief. A notable finding of this study, which contrasts with studies on other regions like Europe, is the lack of variation in these market reactions based on banks' individual characteristics, such as their Common Equity Tier 1 ratio or total assets. This insignificance in variation is attributed to the overall high and stable capitalization of the Korean banking sector. Since most Korean banks already hold capital buffers well above the regulatory minimums and have demonstrated agile capital management strategies, the impact of CCyB changes does not substantially differ between more and less capitalized institutions. These findings present important policy implications. They confirm that the CCyB is an effective tool for enhancing financial stability, as evidenced by the reduction in credit risk. However, policymakers must also consider the inherent trade-offs, particularly the negative short-term impact on bank equity valuations and the signaling effects that policy adjustments convey to the market. This underscores the need for a balanced policy approach of both financial stability and shareholder value. The study acknowledges certain limitations, primarily the relatively short history of CCyB implementation in South Korea, which restricts the amount of available domestic event data. Therefore, the generalization of these findings should be approached with caution. Future research, with the benefit of a longer time series including subsequent CCyB adjustments in Korea, can further explore the long-term effects on the real economy, bank lending behavior, and market dynamics in greater detail.