预期信用损失模型实施会缓解银行信贷顺周期性吗?

Will the Implementation of the Expected Credit Loss Model Alleviate the Procyclicality of Bank Credit?

利用2014~2022年中国商业银行年度数据,系统检验预期信用损失模型是否及如何影响银行信贷顺周期性,研究发现:预期信用损失模型能够一定程度上缓解信贷顺周期性,且该效应的发生主要通过提升贷款损失准备充分性和及时性而实现。同时,预期信用损失模型对银行信贷顺周期性的缓解作用对于非国有银行、权重法资本计量银行和资本充足率较低银行来说更为明显。因此,金融监管部门应制定专项政策以保证预期信用损失模型的顺利有效实施,并对贷款损失准备计提的充分性和及时性进行重点监管。此外,还应对不同特征银行进行分类引导和监管,通过精准施策实现预期信用损失模型效能最大化。

Based on the annual data of China Commercial Bank from 2014 to 2022,this paper systematically examines whether and how the expected credit loss model affects the procyclicality of bank credit.The results show that the expected credit loss model can alleviate the procyclicality of credit to some extent,and this effect is mainly achieved by improving the adequacy and timeliness of loan loss provision.At the same time,the results of heterogeneity analysis show that the expected credit loss model can alleviate the procyclicality of bank credit more obviously for non-state-owned banks,weighted capital measurement banks and banks with low capital adequacy ratio.This not only enriches the research on the economic consequences of the expected credit loss model,but also provides useful policy enlightenment for the formulation of accounting standards and the adjustment of financial supervision policies.Therefore,in order to play the role of loan loss provision accounting in controlling the procyclicality of bank credit,financial supervision departments should formulate special systems to ensure the smooth and effective implementation of the expected credit loss model,and focus on the adequacy and timeliness of loan loss provision.In addition,banks with different characteristics should be classified,guided and supervised,and the efficiency of the expected credit loss model should be maximized through precise policy.