逆周期审慎缓冲和银行冒险

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2022-07-01 DOI:10.1016/j.jfi.2022.100961

Manuel Illueca , Lars Norden , Joseph Pacelli , Gregory F. Udell

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引用次数: 0

摘要

我们研究了反周期审慎缓冲对银行风险承担的影响。我们利用了西班牙引入的动态贷款损失准备金，要求银行在估计贷款损失准备金时使用历史平均损失率。我们发现，动态贷款损失准备金与及时贷款损失准备金的减少有关。以前及时确认贷款损失的银行表现出最大的及时性下降，因此将贷款发放给会计质量较低的风险较高的借款人。我们的研究结果对关于使用财务报告要求缓解资本顺周期性的辩论具有政策意义。

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Countercyclical prudential buffers and bank risk-taking

We investigate the effects of countercyclical prudential buffers on bank risk-taking. We exploit the introduction of dynamic loan loss provisioning in Spain, mandating that banks use historical average loss rates in their estimation of loan loss provisions. We find that dynamic loan loss provisioning is associated with reductions in timely loan loss provisioning. Banks that previously recognized loan losses in a timely fashion exhibit the greatest reductions in timeliness and consequently extend loans to riskier borrowers with lower accounting quality. Our results have policy implications for the debate on the use of financial reporting requirements in mitigating capital pro-cyclicality.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.