文章基本信息

标题：Bank Provisioning Behaviour and Procyclicality
本地全文：下载
作者：Jacob A. Bikker ; Paul A.J. Metzemakers
期刊名称：DNB Staff Reports
出版年度：2003
卷号：1
出版社：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;