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  • 标题:Bank provisioning behaviour and procyclicality
  • 本地全文:下载
  • 作者:J.A. Bikker ; P.A.J. Metzemakers
  • 期刊名称:DNB Research Reports
  • 出版年度:2002
  • 卷号:1
  • 出版社:De Nederlandsche Bank
  • 摘要:The current debate on the possible procyclicality of the new Basel Accord pays little attention to the procyclicality created by unsound loan loss provisioning. This paper investigates how bank provisioning behaviour is related to the business cycle, using 8,000 bank-year observations from 29 OECD countries over the past decade. Provisioning turns out to be substantially higher when GDP growth is lower, reflecting increased riskiness of the credit portfolio when the business cycle turns downwards, which also increases the risk of a credit crunch. This effect is mitigated somewhat as provisions rise in times when earnings are higher, suggesting income smoothing, and loan growth is higher, indicating increased riskiness.
  • 关键词:banks, loan loss provisioning, lending, credit crunch, business cycle, procyclicality, income smoothing, capital management;
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