Uneingeschränkter Zugang

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


Zitieren

ABAD, J., SUAREZ, J. (2019). Assessing the cyclical implications of IFRS 9 – a recursive model, Occasional paper series no. 12, European Systemic Risk Board Search in Google Scholar

AHMED, A., TAKEDA, C., THOMAS, S. (1999). Bank loan loss provisions: A reexamination of capital management, earnings management and signaling effects. Journal of Accounting and Economics, 28(1), 1–25. DOI: 10.1016/S0165-4101(99)00017-810.1016/S0165-4101(99)00017-8 Search in Google Scholar

BCBS (2015). Guidance on credit risk and accounting for expected credit losses, Basel committee on bank supervision. Search in Google Scholar

BEATTY, A., CHAMBERLAIN, S. L., MAGLIOLO, J. (1995). Managing financial reports of commercial banks: The influence of taxes, regulatory capital, and earnings, Journal of Accounting Research, 33(2), 231–261. DOI: 10.2307/249148710.2307/2491487 Search in Google Scholar

BIKKER, J., METZEMAKERS, P. (2005). Bank provisioning behaviour and procyclicality. Journal of International Financial Markets, Institutions and Money, 15(2), 141–157. DOI: 10.1016/j.intfin.2004.03.00410.1016/j.intfin.2004.03.004 Search in Google Scholar

BOUVATIER, V., LEPETIT, L. (2008). Banks’ procyclical behavior: Does provisioning matter? Journal of International Financial Markets, Institutions and Money, 18(5), 513–526. DOI: 10.1016/j.intfin.2007.07.00410.1016/j.intfin.2007.07.004 Search in Google Scholar

BOUVATIER, V., LEPETIT, L. (2012). Provisioning rules and bank lending: A theoretical model. Journal of Financial Stability, 8(1), 25–31. DOI: 10.1016/j.jfs.2011.04.00110.1016/j.jfs.2011.04.001 Search in Google Scholar

CNB (2018). Financial Stability Report 2017/2018, Czech National Bank. Search in Google Scholar

CNB (2019). Inflation report i/2019, Czech National Bank. Search in Google Scholar

EBA (2017). Guidelines on credit institutions credit risk management practices and accounting for expected credit losses, European banking authority. Search in Google Scholar

EGERT, B., SUTHERLAND, D. (2014). The nature of financial and real business cycles: The great moderation and banking sector procyclicality, Scottish Journal of Political Economy, Scottish Economic Society 61(1), 98–117. DOI: 10.1111/sjpe.1203610.1111/sjpe.12036 Search in Google Scholar

ESRB (2017). Financial Stability Implications of IFRS 9, European systemic risk board. Search in Google Scholar

ESRB (2019). The Cyclical Behaviour of the ECL Model in IFRS 9, European systemic risk board. Search in Google Scholar

EUROPEAN COMMISSION AND THE COUNCIL OF THE EUROPEAN UNION (2013a). Directive (EU) no 2013/36 (Capital Requirements Directive). Search in Google Scholar

EUROPEAN COMMISSION AND THE COUNCIL OF THE EUROPEAN UNION (2013b). Regulation (EU) no 575/2013 (Capital Requirements Regulation). Search in Google Scholar

EY (2018). IFRS 9 Expected Credit Loss: Making Sense of the Change in Numbers’, Retrieved on 21 November, 2019 from https://www.ey.com/Publication/vwLUAssets/ey-ifrs-9-expected-credit-loss/$File/ey-ifrs-9-expected-credit-loss. Search in Google Scholar

FSF (2008). Addressing Financial System Procyclicality: A Possible Framework, Note for the FSF working group on market and institutional resilience, Financial Stability Forum. Search in Google Scholar

GPPC (2016). The implementation of IFRS 9 impairment requirements by banks, Considerations for those charged with governance of systemically important banks, Global Public Policy Committee of representatives of the six largest accounting networks. Search in Google Scholar

GREENAWALT, M., SINKEY, J. J. (1988). Bank loan loss provisions and the income smoothing hypothesis: An empirical analysis, 1976–1984. Journal of Financial Services Research, 1(4), 301–318. DOI: 10.1007/BF0023520110.1007/BF00235201 Search in Google Scholar

HASAN, I., WALL, L. (2004). Determinants of the loan loss allowance: Some cross-country comparisons. Financial Review, 39(1), 129–152. DOI: 10.1111/j.0732-8516.2004.00070.x10.1111/j.0732-8516.2004.00070.x Search in Google Scholar

HUIZINGA, H., LAEVEN, L. (2019). The procyclicality of banking: Evidence from the euro area. Working paper series 2288, European Central Bank. Search in Google Scholar

KOCH, T., WALL, L. (2000). The use of accruals to manage reported earnings: Theory and evidence. Working paper series, no. 2000-23, Federal Reserve Bank of Atlanta. Search in Google Scholar

KOENKER, R. (2004). Quantile regression for longitudinal data. Journal of MultivariateAnalysis 91, 74–89. DOI: 10.1016/j.jmva.2004.05.00610.1016/j.jmva.2004.05.006 Search in Google Scholar

KRÜUGER, S., RÖSCH, D., SCHEULE, H. (2018). The impact of loan loss provisioning on bank capital requirements, Journal of Financial Stability 36, 114–129. DOI: 10.1016/j.jfs.2018.02.00910.1016/j.jfs.2018.02.009 Search in Google Scholar

LAEVEN, L., MAJNONI, G. (2003). Loan loss provisioning and economic slowdowns: Too much, too late? Journal of Financial Intermediation, 12(2), 178–197. DOI: 10.1016/S1042-9573(03)00016-010.1016/S1042-9573(03)00016-0 Search in Google Scholar

LEVENTIS, S., DIMITROPOULOS, P., ANANDARAJAN, A. (2011). Loan loss provisions, earnings management and capital management under IFRS: The case of EU commercial banks. Journal of Financial Services Research, 40(1–2), 103–122. DOI: 10.1007/s10693-010-0096-110.1007/s10693-010-0096-1 Search in Google Scholar

MALOVANÁ, S., KOLCUNOVÁ, D. (2019). The effect of higher capital requirements on bank lending: The capital surplus matters, CNB working paper no. 2/2019, Czech National Bank. Search in Google Scholar

QUAGLIARIELLO, M., MARCUCCI, J. (2009). Asymmetric effects of the business cycle on bank credit risk. Journal of Banking & Finance. 33. 1624-1635. 10.1016/j.jbankfin.2009.03.010. DOI: 10.1016/j.jbankfin.2009.03.01010.1016/j.jbankfin.2009.03.010 Search in Google Scholar

NEGRO, M. D., GIANNONI, M. P., SCHORFHEIDE, F. (2015). Inflation in the great recession and new Keynesian models. American Economic Journal: Macroeconomics, American Economic Association, 7(1), 168–196. Search in Google Scholar

PLATA, C., ROCAMORA, M., RUBIO, A., VILLAR, J. (2017). IFRS 9: Pro-cyclicality of provisions. Spanish banks as an illustration, BBVA research. Search in Google Scholar

RESTROY, F., ZAMIL, R. (2017). Prudential policy considerations under expected loss provisioning: Lessons from Asia. FSI papers no. 5, Bank for International Settlement. Search in Google Scholar

SCHOLES, M., WILSON, G., WOLFSON, M. (1990). Tax planning, regulatory capital planning, and financial reporting strategy for commercial banks. The Review of Financial Studies, 3(4), 625–650.10.1093/rfs/3.4.625 Search in Google Scholar

TOVAR, C. E. (2008). DSGE models and central banks. BIS working papers 258, Bank for International Settlements.10.2139/ssrn.1726686 Search in Google Scholar

TRICHET, J. C. (2010). Reflections on the nature of monetary policy non-standard measures and finance theory. Speech given on the occasion of the ECB central banking conference, Frankfurt, 18 November, European Central Bank. Search in Google Scholar

WEZEL, T., CHAN-LAU, J. A., COLUMBA, F. (2012), Dynamic loan loss provisioning: Simulations on effectiveness and guide to implementation, IMF working papers 12/110, International Monetary Fund.10.5089/9781475503319.001 Search in Google Scholar

eISSN:
1804-1663
Sprache:
Englisch
Zeitrahmen der Veröffentlichung:
4 Hefte pro Jahr
Fachgebiete der Zeitschrift:
Wirtschaftswissenschaften, Volkswirtschaft, Wirtschaftstheorie, -systeme und -strukturen