Banks’ Credit Losses and Provisioning over the Business Cycle: Implications for IFRS

IF 0.4 Q4 ECONOMICS Review of Economic Perspectives Pub Date : 2022-03-01 DOI:10.2478/revecp-2022-0003
Simona Malovaná, Ž. Tesařová
{"title":"Banks’ Credit Losses and Provisioning over the Business Cycle: Implications for IFRS","authors":"Simona Malovaná, Ž. Tesařová","doi":"10.2478/revecp-2022-0003","DOIUrl":null,"url":null,"abstract":"Abstract This article examines the procyclicality of banks’ credit losses and provisions in the Czech Republic using pre-2018 data and then discusses the implications of the findings for provisioning in stage 3 under IFRS 9. This analysis is possible because the majority of banks seem to have aligned their accounting definitions of default with the regulatory definition before the implementation of IFRS 9. Based on our results, we find significant asymmetries in the Czech banks’ behaviour over the cycle. Firstly, provisioning procyclicality is the strongest in the later contractionary phase and the early recovery phase, while it is non-existent in the early contractionary phase. Secondly, banks with higher credit risk behave more procyclically than their peers with lower credit risk. If this behaviour persists under IFRS 9 and banks do not change their provisioning behaviour from backward to forward-looking, it may lead to a delayed transfer of exposures between stages and aggravate cyclical fluctuations.","PeriodicalId":43002,"journal":{"name":"Review of Economic Perspectives","volume":null,"pages":null},"PeriodicalIF":0.4000,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Economic Perspectives","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2478/revecp-2022-0003","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

Abstract

Abstract This article examines the procyclicality of banks’ credit losses and provisions in the Czech Republic using pre-2018 data and then discusses the implications of the findings for provisioning in stage 3 under IFRS 9. This analysis is possible because the majority of banks seem to have aligned their accounting definitions of default with the regulatory definition before the implementation of IFRS 9. Based on our results, we find significant asymmetries in the Czech banks’ behaviour over the cycle. Firstly, provisioning procyclicality is the strongest in the later contractionary phase and the early recovery phase, while it is non-existent in the early contractionary phase. Secondly, banks with higher credit risk behave more procyclically than their peers with lower credit risk. If this behaviour persists under IFRS 9 and banks do not change their provisioning behaviour from backward to forward-looking, it may lead to a delayed transfer of exposures between stages and aggravate cyclical fluctuations.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
商业周期内银行信贷损失和拨备:对国际财务报告准则的影响
本文使用2018年前的数据考察了捷克共和国银行信贷损失和拨备的顺周期性,然后讨论了研究结果对IFRS 9第3阶段拨备的影响。这种分析是可能的,因为在实施IFRS 9之前,大多数银行似乎已经将其违约的会计定义与监管定义保持一致。根据我们的结果,我们发现捷克银行的行为在整个周期中存在显著的不对称性。首先,供给顺周期性在经济收缩后期和恢复初期最强,而在经济收缩初期不存在。其次,信用风险较高的银行比信用风险较低的同行表现得更顺周期。如果这种行为在《国际财务报告准则第9号》下持续存在,而银行不将其拨备行为从向后转变为前瞻性,则可能导致风险敞口在不同阶段之间的转移延迟,并加剧周期性波动。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
1.40
自引率
0.00%
发文量
10
审稿时长
38 weeks
期刊最新文献
Efficiency Analysis of Elementary Schools in Bratislava – A Two Step DEA Approach Comparison of Housing Affordability in Czech and Polish Regions The contribution of renewable energy sector value added to the national economic development in Denmark: an empirical analysis The Impact of Project Management Tools on Project Results: Evaluation of a Survey Among Managers Leading International Development Projects for four selected Central and Eastern European Donors Tony Lawson on money
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1