英文标题：
《The cyclicality of loan loss provisions under three different accounting
  models: the United Kingdom, Spain, and Brazil》
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作者：
A. M. B. Araujo, P. R. B. Lustosa
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最新提交年份：
2019
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英文摘要：
  A controversy involving loan loss provisions in banks concerns their relationship with the business cycle. While international accounting standards for recognizing provisions (incurred loss model) would presumably be pro-cyclical, accentuating the effects of the current economic cycle, an alternative model, the expected loss model, has countercyclical characteristics, acting as a buffer against economic imbalances caused by expansionary or contractionary phases in the economy. In Brazil, a mixed accounting model exists, whose behavior is not known to be pro-cyclical or countercyclical. The aim of this research is to analyze the behavior of these accounting models in relation to the business cycle, using an econometric model consisting of financial and macroeconomic variables. The study allowed us to identify the impact of credit risk behavior, earnings management, capital management, Gross Domestic Product (GDP) behavior, and the behavior of the unemployment rate on provisions in countries that use different accounting models. Data from commercial banks in the United Kingdom (incurred loss), in Spain (expected loss), and in Brazil (mixed model) were used, covering the period from 2001 to 2012. Despite the accounting models of the three countries being formed by very different rules regarding possible effects on the business cycles, the results revealed a pro-cyclical behavior of provisions in each country, indicating that when GDP grows, provisions tend to fall and vice versa. The results also revealed other factors influencing the behavior of loan loss provisions, such as earning management.
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中文摘要：
有关银行贷款损失准备金的争议涉及银行与商业周期的关系。虽然确认准备金的国际会计准则（已发生损失模型）可能是顺周期的，强调当前经济周期的影响，但另一种模型，即预期损失模型，具有反周期特征，可以缓冲经济扩张或收缩阶段造成的经济失衡。在巴西，存在着一种混合会计模式，其行为不知道是顺周期还是反周期。本研究的目的是使用由金融和宏观经济变量组成的计量经济模型，分析这些会计模型与经济周期的关系。这项研究使我们能够确定信用风险行为、盈余管理、资本管理、国内生产总值（GDP）行为以及失业率行为对使用不同会计模型的国家准备金的影响。使用了2001年至2012年期间英国商业银行（已发生损失）、西班牙商业银行（预期损失）和巴西商业银行（混合模型）的数据。尽管这三个国家的会计模型是根据对商业周期可能产生的影响的不同规则形成的，但结果显示，每个国家的准备金都具有顺周期行为，表明当GDP增长时，准备金往往会下降，反之亦然。研究结果还揭示了影响贷款损失准备金行为的其他因素，如盈余管理。
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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