巴塞尔协议III对银行贷款损失拨备的裁量权和及时性的影响

IF 2.9 3区 管理学 Q2 BUSINESS, FINANCE Journal of Contemporary Accounting & Economics Pub Date : 2021-08-01 DOI:10.1016/j.jcae.2021.100255
Pearpilai Jutasompakorn , Chu Yeong Lim , Tharindra Ranasinghe , Kevin Ow Yong
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引用次数: 0

摘要

巴塞尔协议III通过将最低一级监管资本门槛从4%提高到6%,收紧了对银行的资本充足率要求。它还强调需要提高贷款损失准备金的及时性。本文以欧洲银行为样本,考察了这一规定对银行自主贷款损失拨备行为的影响。强调银行报告更高资本比率的动机增加,我们观察到巴塞尔协议III后银行用于资本管理目的的酌情贷款损失准备金(dllp)的使用增加,以及用于收入平滑目的的这些准备金的使用相应减少。此外,我们发现,在巴塞尔协议III之后,贷款损失准备金的及时性得到了改善。我们还发现,对于那些在使用dllp提高一级资本比率与总资本比率时没有面临冲突激励的银行来说,巴塞尔协议III后资本管理行为的增加更大。相比之下,对于那些由于这些相互冲突的激励而不太可能从事资本管理的银行来说,贷款损失准备及时性的改善更大。我们的研究结果表明,巴塞尔协议III显著改变了银行的任意贷款损失拨备行为。
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Impact of Basel III on the discretion and timeliness of Banks’ loan loss provisions

The Basel III Accord tightens capital adequacy requirements for banks by increasing the minimum Tier 1 regulatory capital threshold from 4 to 6 percent. It also emphasizes the need to improve timeliness of loan loss provisions. Using a sample of European banks, we examine the impact of this regulation on banks’ discretionary loan loss provisioning behavior. Underscoring banks’ increased incentives to report higher capital ratios, we observe a post-Basel III increase in banks’ use of discretionary loan loss provisions (DLLPs) for capital management purposes and a corresponding reduction in the use of these provisions for income smoothing purposes. Moreover, we find that the timeliness of loan loss provisions has improved following Basel III. We also find that the post-Basel III increase in capital management behavior is greater for banks that do not face conflicting incentives when using DLLPs to improve Tier 1 versus total capital ratio. In contrast, the improvement in loan loss provisioning timeliness is greater for banks that are less likely to engage in capital management due to these conflicting incentives. Our findings suggest that Basel III has significantly altered banks’ discretionary loan loss provisioning behavior.

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CiteScore
6.00
自引率
3.00%
发文量
24
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