IFRS 9 and its behavior in the cycle: The evidence on EU countries

IF 9.4 3区 管理学 Q1 BUSINESS, FINANCE Journal of International Financial Management & Accounting Pub Date : 2021-09-09 DOI:10.1111/jifm.12140
Oľga Pastiranová, Jiří Witzany
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引用次数: 6

Abstract

The purpose of this paper is to analyze empirically the behavior of expected loan loss provisions during the economic cycle. The provisioning rules under IFRS 9 require the creation of reserves to cover expected credit losses, were anticipated to act countercyclically, and thus replaced the rules under IAS 39, which are widely presumed to have a procyclical impact. Observing the dynamics of the economic cycle during the economic downturn resulting from the COVID restrictions, a panel regression was performed to test the hypothesis that loan loss provisioning rules under IFRS 9 have a procyclical impact. The hypothesis was not rejected on the basis of a sample of the member countries of the European Union for the period of 1Q 2015 – 3Q 2020. Since the conclusions about procyclicality of loan loss provisions under IFRS 9 might be sensitive to the choice of models applied by the banks or to the assumptions applied to forward-looking information used in the models, there are certain areas that supervisory and regulatory authorities might look into to increase the quality of ECL models and their predictive power and help to eliminate potential triggers of procyclicality.

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IFRS 9及其在周期中的行为:来自欧盟国家的证据
本文的目的是实证分析预期贷款损失准备在经济周期中的行为。《国际财务报告准则第9号》的拨备规则要求建立准备金以弥补预期的信贷损失,预计将发挥反周期作用,因此取代了被普遍认为具有顺周期影响的《国际会计准则第39号》的规则。观察因COVID限制导致的经济衰退期间的经济周期动态,进行面板回归以检验IFRS 9下的贷款损失准备规则具有顺周期影响的假设。基于2015年第一季度至2020年第三季度欧盟成员国的样本,这一假设没有被拒绝。由于国际财务报告准则第9号下关于贷款损失准备顺周期性的结论可能对银行应用的模型的选择或对模型中使用的前瞻性信息应用的假设很敏感,因此监管当局可能会研究某些领域,以提高ECL模型的质量及其预测能力,并帮助消除顺周期性的潜在触发因素。©2021 John Wiley & Sons Ltd
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来源期刊
CiteScore
9.10
自引率
2.00%
发文量
23
期刊介绍: The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
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