预期信用损失模型会缓解贷款拨备的顺周期效应吗?  

Does Expected Credit Loss Model Mitigate the Procyclicality of Loan Loss Reserves?

作　　者：王成龙 黄瑾 严丹良 郭飞 Wang Chenglong;Huang Jin;Yan Danliang;Guo Fei(School of Accounting,Zhongnan University of Economics and Law;School of Accounting and Auditing,Guangxi Uni-versity of Finance and Economics)

机构地区：[1]中南财经政法大学会计学院 [2]广西财经学院会计与审计学院

出　　处：《国际金融研究》2023年第9期86-96,共11页Studies of International Finance

基　　金：国家社会科学基金一般项目“银行监管和会计监管协调下商业银行风险管理决策与信贷资源配置研究”(20BJY029);国家自然科学基金青年科学基金项目“拨备计提模型变更、拨备属性转变与银行信贷风险研究”(72202233);中国博士后科学基金第70批面上资助项目“贷款拨备计提模型变更、信息‘解码’与银行风险研究”(2021M703623);中南财经政法大学中央高校基本科研业务费专项中研究生科研创新平台项目“预期信用损失模型与贷款拨备的顺周期效应——基于中国银行业的经验证据”(202311104);广西哲学社会科学规划研究课题“‘双循环’新格局下广西金融风险演化与防控机制研究”(22CJY012)资助。

摘　　要：已发生损失模型的主要缺陷之一在于其会加剧金融系统的顺周期效应。本文基于2015—2020年中国商业银行数据,以中国银行业分批执行预期信用损失模型为准自然实验,检验新模型能否弥补已发生损失模型的缺陷。本文发现,当银行采用预期信用损失模型后,贷款拨备的顺周期效应明显减弱。该效应减弱的重要机制在于,预期信用损失模型的实施对非自由裁量贷款拨备产生逆周期调节作用。进一步从银行外部治理环境和内部治理结构两个方面进行分析发现,拨备计提模型变更对拨备顺周期效应的削弱作用主要体现在由“四大”审计和实施高管薪酬延付的样本中。此外,本文研究表明,拨备计提模型变更可以削弱贷款拨备对信贷规模的负向冲击,缓解信贷顺周期现象。本文为中国及全球银行监管机构推进实施预期信用损失模型、完善贷款拨备监管制度提供了证据支持。One of the main shortcomings of the Incurred Loss(IL)model lies in its potential to amplify the procyclicality of loan loss reserves.Regulatory bodies have advocated for the implementation of the Expected Credit Loss(ECL)model in an effort to counterbalance these associated risks.However,some researchers contend that the procyclicality of loan loss reserves stems not from the limitations imposed by the IL model,but rather from the management′s reluctance to promptly establish re⁃serves.Therefore,the transition to the ECL model may not sufficiently alleviate the procyclicality.Taking the staggered application of the ECL model in the banking industry as a quasi-natural experiment,this paper ex⁃amines whether the ECL model can mitigate the procyclicality of loan loss reserves.Drawing upon data from Chinese commer⁃cial banks spanning the period from 2015 to 2020,our study finds that the procyclicality of loan loss reserves is greatly dimin⁃ished when banks adopt the ECL model.The primary mechanism driving this reduction is that the ECL model′s implementa⁃tion engenders a countercyclical moderating effect on non-discretionary loan loss reserves.Further examinations of banks′ex⁃ternal governance circumstances and internal governance structure(IGS)of banks reveal that the weakening effect is more pro⁃nounced in the banks audited by the Big Four audit firms,and those that implement the compensation deferral policies.Impor⁃tantly,our study also indicates that the implementation of the ECL model can eliminate the negative impact of loan loss re⁃serves on credit scale and finally mitigates the procyclicality of bank credit.This paper explores the economic consequences of the ECL model′s implementation from a procyclical perspective.It also proposes strategies to mitigate the procyclicality of the financial system by transforming the IL model,thereby providing an ef⁃fective solution to prevent the spread of financial risks to the real economy.Our findings are instrumental in promoting the stan⁃d

关 键 词：预期信用损失模型 贷款拨备 顺周期效应 

分 类 号：F831[经济管理—金融学]