“丰年留粮”抑或“投其所好”:商业银行贷款损失准备操纵行为研究  

Saving or Catering:Analysis of Bank's Behavior in Manipulating Loan Loss Provisions

作　　者：花秋玲 谢诗铎[2] 王琳卉 Hua Qiuling;Xie Shiduo;Wang Linhui

机构地区：[1]吉林大学国有经济研究中心 [2]吉林大学经济学院

出　　处：《财经科学》2024年第11期14-28,共15页Finance & Economics

基　　金：国家自然科学基金青年项目“基于分位数回归的期权定价问题”(11901233);吉林省科学技术厅项目“粗糙路径驱动的随机微方程在金融中的应用”(20200201262JC);吉林大学廉政建设专项研究课题“推动构建吉林省‘1+9’监督贯通协作体系的路径分析”(440020031571);吉林大学金融学专项研究课题“金融创新背景下的金融风险管理”(371209851406)的资助。

摘　　要：本文基于2000—2022年的中国商业银行数据,通过断点回归分析的方法,研究了银行拨备覆盖率的聚集现象,并深入剖析银行操纵贷款损失准备的行为动机。研究发现:(1)银行普遍存在拨备覆盖率“踩线”达标现象。(2)在经济上行期,银行通过额外计提贷款拨备,降低当期利润水平,达到“丰年留粮”的盈余管理目的;在经济下行期,银行会通过少计贷款拨备的操纵行为,优化被监管的风险指标,“投其所好”的风险管理效应显著。(3)银行的节税动机会显著促进“丰年留粮”行为,管理层信心增强会削弱银行“投其所好”的倾向。(4)金融业扩大开放程度对银行“丰年留粮”行为的促进作用明显,但经济政策的不确定性会强化银行的“投其所好”效应。(5)大型国有银行、股份制银行等规模较大的银行“丰年留粮”效应更强,城商行、农商行等规模较小的银行具有更加明显的“投其所好”特征。本文的研究为加强商业银行监管、完善动态拨备制度提供了理论支持和实证依据。Based on the data of China's commercial banks from 2000 to 2022 and the method of regression discontinuity design,this paper studies the aggregation phenomenon of the provision coverage ratio of commercial banks at the regulatory level,and empirically analyzes the internal mechanism of its occurrence.The study finds that:(1)Provision coverage ratio of most banks has the aggregation phenomenon at the regulatory level;(2)Banks have the motivation to manipulate loan loss provisions upwards during the economic upswing period,and are more inclined to manipulate loan loss provisions downward during the economic downturn;(3)The purpose of tax saving will significantly promote the effect of"reserving grain in harvest years",and enhanced confidence in management will weaken the behavior of commercial banks to"catering to the regulatory authorities".(4)The expansion of the financial opening-up will promote the behavior of commercial banks to manipulate loan loss provisions and hide profits,and the rise of economic policy uncertainty will significantly promote the behavior of commercial banks to manipulate loan loss provisions to hide risks.(5)According to the results of heterogeneity analysis,large-scale banks prefer to"reserve grain in harvest years",while small-scale banks prefer to"cater to the regulatory authorities",This paper provides theoretical support and empirical basis for strengthening provision supervision and improving the dynamic provision management of commercial banks.

关 键 词：贷款损失准备 拨备覆盖率 风险操纵 断点回归 

分 类 号：F832.33[经济管理—金融学]